predict.robStepSplitReg {robStepSplitReg}

Predictions for robStepSplitReg Object

Description

predict.robStepSplitReg returns the predictions for a robStepSplitReg object.

Usage

## S3 method for class 'robStepSplitReg'
predict(object, newx, group_index = NULL, dynamic = FALSE, ...)

Arguments

object

An object of class robStepSplitReg

newx

New data for predictions.

group_index

Groups included in the ensemble. Default setting includes all the groups.

dynamic

Argument to determine whether dynamic predictions are used based on deviating cells. Default is FALSE.

...

Additional arguments for compatibility.

Value

The predictions for the robStepSplitReg object.

Author(s)

Anthony-Alexander Christidis, [e-mail]

See Also

robStepSplitReg

Examples

# Required library
library(mvnfast)

# Simulation parameters
n <- 50
p <- 500
rho <- 0.5
p.active <- 100
snr <- 1
contamination.prop <- 0.2

# Setting the seed
set.seed(0)

# Simulation of beta vector
true.beta <- c(runif(p.active, 0, 5)*(-1)^rbinom(p.active, 1, 0.7), rep(0, p - p.active))

# Simulation of uncontaminated data 
sigma.mat <- matrix(0, nrow = p, ncol = p)
sigma.mat[1:p.active, 1:p.active] <- rho
diag(sigma.mat) <- 1
x <- mvnfast::rmvn(n, mu = rep(0, p), sigma = sigma.mat)
sigma <- as.numeric(sqrt(t(true.beta) %*% sigma.mat %*% true.beta)/sqrt(snr))
y <- x %*% true.beta + rnorm(n, 0, sigma)

# Contamination of data 
contamination_indices <- 1:floor(n*contamination.prop)
k_lev <- 2
k_slo <- 100
x_train <- x
y_train <- y
beta_cont <- true.beta
beta_cont[true.beta!=0] <- beta_cont[true.beta!=0]*(1 + k_slo)
beta_cont[true.beta==0] <- k_slo*max(abs(true.beta))
for(cont_id in contamination_indices){
  
  a <- runif(p, min = -1, max = 1)
  a <- a - as.numeric((1/p)*t(a) %*% rep(1, p))
  x_train[cont_id,] <- mvnfast::rmvn(1, rep(0, p), 0.1^2*diag(p)) + 
    k_lev * a / as.numeric(sqrt(t(a) %*% solve(sigma.mat) %*% a))
  y_train[cont_id] <- t(x_train[cont_id,]) %*% beta_cont
}

# Ensemble models
ensemble_fit <- robStepSplitReg(x_train, y_train,
                                n_models = 5,
                                model_saturation = c("fixed", "p-value")[1],
                                alpha = 0.05, model_size = n - 1,
                                robust = TRUE,
                                compute_coef = TRUE,
                                en_alpha = 1/4)

# Ensemble coefficients
ensemble_coefs <- coef(ensemble_fit, group_index = 1:ensemble_fit$n_models)
sens_ensemble <- sum(which((ensemble_coefs[-1]!=0)) <= p.active)/p.active
spec_ensemble <- sum(which((ensemble_coefs[-1]!=0)) <= p.active)/sum(ensemble_coefs[-1]!=0)

# Simulation of test data
m <- 2e3
x_test <- mvnfast::rmvn(m, mu = rep(0, p), sigma = sigma.mat)
y_test <- x_test %*% true.beta + rnorm(m, 0, sigma)

# Prediction of test samples
ensemble_preds <- predict(ensemble_fit, newx = x_test, 
                          group_index = 1:ensemble_fit$n_models,
                          dynamic = FALSE)
mspe_ensemble <- mean((y_test - ensemble_preds)^2)/sigma^2