CDMAX

vector of identifiers for individuals in the training set

Train

vector of identifiers for individuals in the test set

Test

$n \times k$ matrix of the first PCs of the predictor variables. The matrix needs to have union of the identifiers of the candidate and test individuals as rownames.

scalar shrinkage parameter ($\lambda>0$).

lambda

Calculate  $$max(diag(P_{Test}(P'_{Train}P_{Train}+lambda*I)^{-1}P'_{Test})/diag(P_{Test}P'_{Test}))$$

Can be utilized to select a test data calibrated training population in high dimensional prediction problems and assumes that the explanatory variables are observed for all of the individuals. Once a "good" training set is identified, the response variable can be obtained only for this set to build a model for predicting the response in the test set.

CDMAX: CDMAX

Description

Usage

Arguments

Value