variable_selection {GlarmaVarSel} | R Documentation |
Variable selection
Description
This function performs variable selection, estimates a new vector beta and a new vector gamma
Usage
variable_selection(Y, X, gamma0, k_max = 2, n_iter = 100, method = "min",
nb_rep_ss = 1000, threshold = 0.8, parallel = FALSE, nb.cores = 1)
Arguments
Y |
Observation matrix |
X |
Design matrix |
gamma0 |
Initial gamma vector |
k_max |
Number of iteration to repeat the whole algorithm |
n_iter |
Number of iteration for Newton-Raphson algorithm |
method |
Stability selection method: "fast", "min" or "cv". In "min" the smallest lambda is chosen, in "cv" cross-validation lambda is chosen for stability selection. "fast" is a fater stability selection approach. The default is "min" |
nb_rep_ss |
Number of replications in stability selection step. The default is 1000 |
threshold |
Threshold for stability selection. The default is 0.9 |
parallel |
Whether to parallelize stability selection step or not. The default is FALSE |
nb.cores |
Number of cores for parallelization. The default is 1 |
Value
estim_active |
Estimated active coefficients |
beta_est |
Vector of estimated beta values |
gamma_est |
Vector of estimated gamma values |
Author(s)
Marina Gomtsyan, Celine Levy-Leduc, Sarah Ouadah, Laure Sansonnet
Maintainer: Marina Gomtsyan <marina.gomtsyan@agroparistech.fr>
References
M. Gomtsyan et al. "Variable selection in sparse GLARMA models", arXiv:2007.08623v1
Examples
n=50
p=30
X = matrix(NA,(p+1),n)
f = 1/0.7
for(t in 1:n){X[,t]<-c(1,cos(2*pi*(1:(p/2))*t*f/n),sin(2*pi*(1:(p/2))*t*f/n))}
gamma0 = c(0)
data(Y)
result = variable_selection(Y, X, gamma0, k_max=2, n_iter=100, method="min",
nb_rep_ss=1000, threshold=0.7, parallel=FALSE, nb.cores=1)
beta_est = result$beta_est
Estim_active = result$estim_active
gamma_est = result$gamma_est