cv.aglm {aglm} | R Documentation |

## Fit an AGLM model with cross-validation for `\lambda`

### Description

A fitting function with given `\alpha`

and cross-validation for `\lambda`

.
See aglm-package for more details on `\alpha`

and `\lambda`

.

### Usage

```
cv.aglm(
x,
y,
qualitative_vars_UD_only = NULL,
qualitative_vars_both = NULL,
qualitative_vars_OD_only = NULL,
quantitative_vars = NULL,
use_LVar = FALSE,
extrapolation = "default",
add_linear_columns = TRUE,
add_OD_columns_of_qualitatives = TRUE,
add_interaction_columns = FALSE,
OD_type_of_quantitatives = "C",
nbin.max = NULL,
bins_list = NULL,
bins_names = NULL,
family = c("gaussian", "binomial", "poisson"),
keep = FALSE,
...
)
```

### Arguments

`x` |
A design matrix. See aglm for more details. |

`y` |
A response variable. |

`qualitative_vars_UD_only` |
Same as in aglm. |

`qualitative_vars_both` |
Same as in aglm. |

`qualitative_vars_OD_only` |
Same as in aglm. |

`quantitative_vars` |
Same as in aglm. |

`use_LVar` |
Same as in aglm. |

`extrapolation` |
Same as in aglm. |

`add_linear_columns` |
Same as in aglm. |

`add_OD_columns_of_qualitatives` |
Same as in aglm. |

`add_interaction_columns` |
Same as in aglm. |

`OD_type_of_quantitatives` |
Same as in aglm. |

`nbin.max` |
Same as in aglm. |

`bins_list` |
Same as in aglm. |

`bins_names` |
Same as in aglm. |

`family` |
Same as in aglm. |

`keep` |
Set to |

`...` |
Other arguments are passed directly when calling |

### Value

A model object fitted to the data with cross-validation results.
Functions such as `predict`

and `plot`

can be applied to the returned object, same as the result of `aglm()`

.
See AccurateGLM-class for more details.

### Author(s)

Kenji Kondo,

Kazuhisa Takahashi and Hikari Banno (worked on L-Variable related features)

### References

Suguru Fujita, Toyoto Tanaka, Kenji Kondo and Hirokazu Iwasawa. (2020)
*AGLM: A Hybrid Modeling Method of GLM and Data Science Techniques*,

https://www.institutdesactuaires.com/global/gene/link.php?doc_id=16273&fg=1

*Actuarial Colloquium Paris 2020*

### Examples

```
#################### Cross-validation for lambda ####################
library(aglm)
library(faraway)
## Read data
xy <- nes96
## Split data into train and test
n <- nrow(xy) # Sample size.
set.seed(2018) # For reproducibility.
test.id <- sample(n, round(n/5)) # ID numbders for test data.
test <- xy[test.id,] # test is the data.frame for testing.
train <- xy[-test.id,] # train is the data.frame for training.
x <- train[, c("popul", "TVnews", "selfLR", "ClinLR", "DoleLR", "PID", "age", "educ", "income")]
y <- train$vote
newx <- test[, c("popul", "TVnews", "selfLR", "ClinLR", "DoleLR", "PID", "age", "educ", "income")]
# NOTE: Codes bellow will take considerable time, so run it when you have time.
## Fit the model
model <- cv.aglm(x, y, family="binomial")
## Make the confusion matrix
lambda <- model@lambda.min
y_true <- test$vote
y_pred <- levels(y_true)[as.integer(predict(model, newx, s=lambda, type="class"))]
cat(sprintf("Confusion matrix for lambda=%.5f:\n", lambda))
print(table(y_true, y_pred))
```

*aglm*version 0.4.0 Index]