Renvlp (version 3.2)

u.henv: Select the dimension of henv

Description

This function outputs dimensions selected by Akaike information criterion (AIC), Bayesian information criterion (BIC) and likelihood ratio testing with specified significance level for the heteroscedastic envelope model.

Usage

u.henv(X, Y, alpha = 0.01)

Value

u.aic

Dimension of the heteroscedastic envelope subspace selected by AIC.

u.bic

Dimension of the heteroscedastic envelope subspace selected by BIC.

u.lrt

Dimension of the heteroscedastic envelope subspace selected by the likelihood ratio testing procedure.

loglik.seq

Log likelihood for dimension from 0 to r.

aic.seq

AIC value for dimension from 0 to r.

bic.seq

BIC value for dimension from 0 to r.

Arguments

X

A group indicator vector of length $n$, where $n$ denotes the number of observations.

Y

Multivariate responses. An n by r matrix, r is the number of responses and n is number of observations. The responses must be continuous variables.

alpha

Significance level for testing. The default is 0.01.

Examples

data(waterstrider)
X <- waterstrider[ , 1]
Y <- waterstrider[ , 2:5]

if (FALSE) u <- u.henv(X, Y)
if (FALSE) u