sparseSIR {SISIR} | R Documentation |
sparse SIR
Description
sparseSIR
performs the second step of the method (shrinkage of ridge
SIR results
Usage
sparseSIR(
object,
inter_len,
adaptive = FALSE,
sel_prop = 0.05,
parallel = FALSE,
ncores = NULL
)
Arguments
object |
an object of class |
inter_len |
(numeric) vector with interval lengths |
adaptive |
should the function returns the list of strong zeros and non strong zeros (logical). Default to FALSE |
sel_prop |
used only when |
parallel |
whether the computation should be performed in parallel or not. Logical. Default is FALSE |
ncores |
number of cores to use if |
Value
S3 object of class sparseRes
: a list consisting of
sEDR
the estimated EDR space (a p x d matrix)alpha
the estimated shrinkage coefficients (a vector having a length similar tointer_len
)quality
a vector with various qualities for the model (see Details)adapt_res
ifadaptive = TRUE
, a list of two vectors:nonzeros
indexes of variables that are strong non zeroszeros
indexes of variables that are strong zeros
parameters
a list of hyper-parameters for the method:inter_len
lengths of intervalssel_prop
ifadaptive = TRUE
, fraction of the coefficients which are considered as strong zeros or strong non zeros
rSIR
same as the inputobject
fit
a list for LASSO fit with:glmnet
result of theglmnet
functionlambda
value of the best Lasso parameter by CVx
exploratory variable values as passed to fit the model
@details Different quality criteria used to select the best models among a
list of models with different interval definitions. Quality criteria are:
log-likelihood (loglik
), cross-validation error as provided by the
function glmnet
, two versions of the AIC (AIC
and AIC2
) and of the BIC (BIC
and BIC2
) in which the
number of parameters is either the number of non null intervals or the
number of non null parameters with respect to the original variables.
Author(s)
Victor Picheny, victor.picheny@inrae.fr
Remi Servien, remi.servien@inrae.fr
Nathalie Vialaneix, nathalie.vialaneix@inrae.fr
References
Picheny, V., Servien, R., and Villa-Vialaneix, N. (2019) Interpretable sparse SIR for digitized functional data. Statistics and Computing, 29(2), 255–267.
See Also
ridgeSIR
, project.sparseRes
,
SISIR
Examples
set.seed(1140)
tsteps <- seq(0, 1, length = 200)
nsim <- 100
simulate_bm <- function() return(c(0, cumsum(rnorm(length(tsteps)-1, sd=1))))
x <- t(replicate(nsim, simulate_bm()))
beta <- cbind(sin(tsteps*3*pi/2), sin(tsteps*5*pi/2))
beta[((tsteps < 0.2) | (tsteps > 0.5)), 1] <- 0
beta[((tsteps < 0.6) | (tsteps > 0.75)), 2] <- 0
y <- log(abs(x %*% beta[ ,1]) + 1) + sqrt(abs(x %*% beta[ ,2]))
y <- y + rnorm(nsim, sd = 0.1)
res_ridge <- ridgeSIR(x, y, H = 10, d = 2, mu2 = 10^8)
res_sparse <- sparseSIR(res_ridge, rep(10, 20))