examples/example-spLinReg.R

In privefl/bigstatsr: Statistical Tools for Filebacked Big Matrices

set.seed(1)

# simulating some data
N <- 230
M <- 730
X <- FBM(N, M, init = rnorm(N * M, sd = 5))
y <- rowSums(X[, 1:10]) + rnorm(N)
covar <- matrix(rnorm(N * 3), N)

ind.train <- sort(sample(nrow(X), 150))
ind.test <- setdiff(rows_along(X), ind.train)

# fitting model for multiple lambdas and alphas
test <- big_spLinReg(X, y[ind.train], ind.train = ind.train,
                     covar.train = covar[ind.train, ],
                     alphas = c(1, 0.1), K = 3, warn = FALSE)

# peek at the models
plot(test)
summary(test, sort = TRUE)
summary(test, sort = TRUE)$message

# prediction for other data -> only the best alpha is used
summary(test, best.only = TRUE)
pred <- predict(test, X, ind.row = ind.test, covar.row = covar[ind.test, ])
plot(pred, y[ind.test], pch = 20); abline(0, 1, col = "red")