cv.penv {Renvlp}

Cross validation for penv

Description

Compute the prediction error for the partial envelope estimator using m-fold cross validation.

Usage

cv.penv(X1, X2, Y, u, m, nperm)

Arguments

X1

Predictors of main interest. An n by p1 matrix, n is the number of observations, and p1 is the number of main predictors. The predictors can be univariate or multivariate, discrete or continuous.

X2

Covariates, or predictors not of main interest. An n by p2 matrix, p2 is the number of covariates.

Y

Multivariate responses. An n by r matrix, r is the number of responses and n is number of observations. The responses must be continuous variables.

u

Dimension of the envelope. An integer between 0 and r.

m

A positive integer that is used to indicate m-fold cross validation.

nperm

A positive integer indicating number of permutations of the observations, m-fold cross validation is run on each permutation.

Details

This function computes prediction errors using m-fold cross validation. For a fixed dimension u, the data is randomly partitioned into m parts, each part is in turn used for testing for the prediction performance while the rest m-1 parts are used for training. This process is repeated for nperm times, and average prediction error is reported. As Y is multivariate, the identity inner product is used for computing the prediction errors.

Value

The output is a real nonnegative number.

cvPE

The prediction error estimated by m-fold cross validation.

Examples

data(fiberpaper)
X1 <- fiberpaper[, 7]
X2 <- fiberpaper[, 5:6]
Y <- fiberpaper[, 1:4]

m <- 5
nperm <- 50
## Not run: cvPE <- cv.penv(X1, X2, Y, 1, m, nperm)
## Not run: cvPE