FlexZBoost: Fits FlexZBoost

In rizbicki/FlexCoDE: Fits Flexible Conditional Estimator via Regression

Description

Wrapper for fitFlexCoDE for the special case of FlexZBoost

Usage

FlexZBoost(
  xTrain,
  zTrain,
  xValidation,
  zValidation,
  xTest = NULL,
  zTest = NULL,
  chooseSharpen = TRUE,
  ...
)

Arguments

xTrain	Covariates x used to train the model (one observation per row)
zTrain	Responses z used to train the model (matrix with one column; one observation per row)
xValidation	Covariates x used to tune the model (one observation per row; same number of columns as xTrain)
zValidation	Responses z used to tune the model (matrix with one column; one observation per row)
xTest	Covariates x used to estimate risk of final model (one observation per row; same number of columns as xTrain). Default is NULL
zTest	Responses z used to estimate risk of final model (matrix with one column; one observation per row). Default is NULL
chooseSharpen	Should alpha, the parameter to sharpen the final estimate, be chosen? Default is TRUE
...	additional arguments to fitFlexCoDE

Value

Returns the fitted estimated conditional density, and object of the class FlexCoDE. The return value is an object with the following components:

zMin, zMax	Minimum and maximum value of z
nIMax	Maximum number of expansion coefficients (user input). Default is minimum between 25 and number of training samples.
system	Basis used for expanding the response
zTrain	zTrain (user input)
xTrain	xTrain (user input)
regressionObject	Object with fitted regressions. Class and content depend on which regression method was chosen by user
errors	Estimated errors for each value of I (number of expansion coefficients) using validation set
bestI	Optimal number of I according to validation set
bestError	Estimated error of model with bestI expansion terms according to validation set
bestDelta	Optimal value of threshold delta according to validation set
bestAlpha	Optimal value of alpha according to validation set
estimatedRisk	(If user provides xTest and zTest) Estimated risk (error) according to test set)

rizbicki/FlexCoDE documentation built on Feb. 10, 2022, 3:14 p.m.