Renvlp (version 3.4.5)

pred.rrenv: Estimation or prediction for rrenv

Description

Perform estimation or prediction under the reduced rank envelope model.

Usage

pred.rrenv(m, Xnew)

Value

The output is a list that contains following components.

value

The fitted value or the predicted value evaluated at Xnew.

covMatrix.estm

The covariance matrix of the fitted value at Xnew.

SE.estm

The standard error of the fitted value at Xnew.

covMatrix.pred

The covariance matrix of the predicted value at Xnew.

SE.pred

The standard error of the predicted value at Xnew.

Arguments

m

A list containing estimators and other statistics inherited from rrenv.

Xnew

The value of X with which to estimate or predict Y. A p dimensional vector.

Details

This function evaluates the reduced rank envelope model at new value Xnew. It can perform estimation: find the fitted value when X = Xnew, or prediction: predict Y when X = Xnew. The covariance matrix and the standard errors are also provided.

Examples

data(vehicles)
X <- vehicles[, 1:11]  
Y <- vehicles[, 12:15]
X <- scale(X)
Y <- scale(Y)  # The scales of Y are vastly different, so scaling is reasonable here

m <- rrenv(X, Y, 4, 2)
m

X <- as.matrix(X)
pred.res <- pred.rrenv(m, X[2, ])
pred.res