compute_epe: Generalization Error

In ygeunkim/youngtool: Research tools for academic writing

Description

This function computes expected test error in Monte Carlo simultion situation.

Usage

compute_epe(
  data,
  randx,
  testn,
  fit,
  test_set,
  randy = NULL,
  mcname = "mc",
  xname = "x",
  yname = "y",
  error = c("squared", "absolute"),
  distribution = FALSE,
  mod,
  formula,
  ...
)

Arguments

data	MC data set generated by mc_data.
randx	Random sample generator function for x.
testn	Test sample size
fit	True model function with x-named argument.
test_set	You can provide an independent test set instead of using randx and testn.
randy	Random sample generator function for error term.
mcname	column name of the MC sample. By default, "mc".
xname	column name of the data. By default, "x".
yname	column name of the response. By default, "y".
error	Choice of loss function. See loss.
distribution	return the error for each MC sample? FALSE by default. If TRUE, it gives the data.table.
mod	Model function.
formula	an object of class formula.
...	Additional arguments for mod. If you wand argument for randx or randy, define one.

Details

Given MC samples, compute test error using independent test set and average.

Value

Expected test error

References

Hastie, T., Tibshirani, R.,, Friedman, J. (2001). The Elements of Statistical Learning. New York, NY, USA: Springer New York Inc..

ygeunkim/youngtool documentation built on Dec. 14, 2019, 7:42 p.m.