covsel {rchemo}

CovSel

Description

Variable selection for high-dimensionnal data with the COVSEL method (Roger et al. 2011).

Usage

covsel(X, Y, nvar = NULL, scaly = TRUE, weights = NULL)

Arguments

X

X-data (n, p).

Y

Y-data (n, q).

nvar

Number of variables to select in X.

scaly

If TRUE (default), each column of Y is scaled by its standard deviation.

weights

Weights (n, 1) to apply to the training observations. Internally, weights are "normalized" to sum to 1. Default to NULL (weights are set to 1 / n).

Value

sel

A dataframe where variable sel shows the column numbers of the variables selected in X.

weights

The weights used for the row observations.

References

Roger, J.M., Palagos, B., Bertrand, D., Fernandez-Ahumada, E., 2011. CovSel: Variable selection for highly multivariate and multi-response calibration: Application to IR spectroscopy. Chem. Lab. Int. Syst. 106, 216-223.

Examples

n <- 6 ; p <- 4
X <- matrix(rnorm(n * p), ncol = p)
Y <- matrix(rnorm(n * 2), ncol = 2)

covsel(X, Y, nvar = 3)