bsrcv {varEst} | R Documentation |
Variance Estimation with Bootstrap-RCV
Description
Estimation of error variance using Bootstrap-refitted cross validation method in ultrahigh dimensional dataset.
Usage
bsrcv(x,y,a,b,d,method=c("spam","lasso","lsr"))
Arguments
x |
a matrix of markers or explanatory variables, each column contains one marker and each row represents an individual. |
y |
a column vector of response variable. |
a |
value of alpha, range is 0<=a<=1 where, a=1 is LASSO penalty and a=0 is Ridge penalty.If variable selection method is LASSO then providing value to a is compulsory. For other methods a should be NULL. |
b |
number of bootstrap samples. |
d |
number of variables to be selected from x. |
method |
variable selection method, user can choose any method among "spam", "lasso", "lsr" |
Details
In this method, bootstrap samples are taken from the original datasets and then RCV (Fan et al., 2012) method is applied to each of these bootstrap samples.
Value
Error variance |
Author(s)
Sayanti Guha Majumdar <sayanti23gm@gmail.com>, Anil Rai, Dwijesh Chandra Mishra
References
Fan, J., Guo, S., Hao, N. (2012).Variance estimation using refitted cross-validation in ultrahigh dimensional regression. Journal of the Royal Statistical Society, 74(1), 37-65
Ravikumar, P., Lafferty, J., Liu, H. and Wasserman, L. (2009). Sparse additive models. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 71(5), 1009-1030
Tibshirani, R. (1996). Regression shrinkage and selection via the Lasso. Journal of Royal Statistical Society, 58, 267-288
Examples
## data simulation
marker <- as.data.frame(matrix(NA, ncol =500, nrow = 200))
for(i in 1:500){
marker[i] <- sample(1:3, 200, replace = TRUE, prob = c(1, 2, 1))
}
pheno <- marker[,1]*1.41+marker[,2]*1.41+marker[,3]*1.41+marker[,4]*1.41+marker[,5]*1.41
pheno <- as.matrix(pheno)
marker<- as.matrix(marker)
## estimation of error variance
var <- bsrcv(marker,pheno,1,10,5,"lasso")