Renvlp (version 2.7)

cv.xenv: Cross validation for xenv

Description

Compute the prediction error for the envelope estimator using m-fold cross validation.

Usage

cv.xenv(X, Y, u, m, nperm)

Arguments

X

Predictors. An n by p matrix, p is the number of predictors and n is number of observations. The predictors must be continuous variables.

Y

Responses. An n by r matrix, r is the number of responses. The response can be univariate or multivariate and must be continuous variable.

u

Dimension of the envelope. An integer between 0 and p.

m

A positive integer that is used to indicate m-fold cross validation.

nperm

A positive integer indicating number of permutations of the observations, m-fold cross validation is run on each permutation.

Value

The output is a real nonnegative number.

cvPE

The prediction error estimated by m-fold cross validation.

Details

This function computes prediction errors using m-fold cross validation. For a fixed dimension u, the data is randomly partitioned into m parts, each part is in turn used for testing for the prediction performance while the rest m-1 parts are used for training. This process is repeated for nperm times, and average prediction error is reported. If Y is multivariate, the identity inner product is used for computing the prediction errors.

Examples

# NOT RUN {
data(wheatprotein)
X <- wheatprotein[, 1:6]
Y <- wheatprotein[, 7]

m <- 5
nperm <- 50
# }
# NOT RUN {
cvPE <- cv.xenv(X, Y, 2, m, nperm)
# }
# NOT RUN {
cvPE
# }