COR (version 0.2.0)

MSEver: Caculate the MSE values of the COR criterion for redundant data in simulation

Description

Caculate the MSE values of the COR criterion for redundant data in simulation

Usage

MSEver(K = K, nk = nk, alpha = alpha, X = X, y = y)

Value

A list containing:

minE

The minimum value of the error variance estimator.

Mcor

The MSE of the COR estimator.

Mx

The MSE of the estimator based on the subset with the maximum M.

MA

The MSE of the estimator based on the subset with the minimum W.

Arguments

K

is the number of subsets

nk

is the length of subsets

alpha

is the significance level

X

is the observation matrix

y

is the response vector

References

Guo, G., Song, H. & Zhu, L. The COR criterion for optimal subset selection in distributed estimation. Statistics and Computing, 34, 163 (2024). tools:::Rd_expr_doi("10.1007/s11222-024-10471-z")

Examples

p=6;n=1000;K=2;nk=200;alpha=0.05;sigma=1
e=rnorm(n,0,sigma); beta=c(sort(c(runif(p,0,1))));
data=c(rnorm(n*p,5,10));X=matrix(data, ncol=p);
y=X%*%beta+e;
MSEver(K=K,nk=nk,alpha=alpha,X=X,y=y)