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fda.usc (version 1.1.0)

fregre.pls: Functional Penalized PLS regression with scalar response

Description

Computes functional linear regression between functional explanatory variable $X(t)$ and scalar response $Y$ using penalized Partial Least Squares (PLS)$$Y=\big<\tilde{x},\beta\big>+\epsilon=\int_{T}{\tilde{X}(t)\beta(t)dt+\epsilon}$$ where $\big< \cdot , \cdot \big>$ denotes the inner product on $L_2$ and $\epsilon$ are random errors with mean zero , finite variance $\sigma^2$ and $E[\tilde{X}(t)\epsilon]=0$.

Usage

fregre.pls(fdataobj, y=NULL, l = NULL,lambda=0,P=c(0,0,1),...)

Arguments

fdataobj
fdata class object.
y
Scalar response with length n.
l
Index of components to include in the model.
lambda
Amount of penalization. Default value is 0, i.e. no penalization is used.
P
If P is a vector: P are coefficients to define the penalty matrix object. By default P=c(0,0,1) penalize the second derivative (curvature) or acceleration. If P is a matrix: P is the penalty matrix o
...
Further arguments passed to or from other methods.

Value

  • Return:
  • callThe matched call of fregre.pls function.
  • beta.estBeta coefficient estimated of class fdata.
  • coefficientsA named vector of coefficients.
  • fitted.valuesEstimated scalar response.
  • residualsy-fitted values.
  • HHat matrix.
  • dfThe residual degrees of freedom.
  • r2Coefficient of determination.
  • GCVGCV criterion.
  • sr2Residual variance.
  • lIndex of components to include in the model.
  • lambdaAmount of shrinkage.
  • fdata.compFitted object in fdata2pls function.
  • lmFitted object in lm function
  • fdataobjFunctional explanatory data.
  • yScalar response.

Details

Functional (FPLS) algorithm maximizes the covariance between $X(t)$ and the scalar response $Y$ via the partial least squares (PLS) components. The functional penalized PLS are calculated in fdata2pls by alternative formulation of the NIPALS algorithm proposed by Kraemer and Sugiyama (2011). Let $\left{\tilde{\nu}_k\right}_{k=1}^{\infty}$ the functional PLS components and $\tilde{X}_i(t)=\sum_{k=1}^{\infty}\tilde{\gamma}_{ik}\tilde{\nu}_k$ and $\beta(t)=\sum_{k=1}^{\infty}\tilde{\beta}_k\tilde{\nu}_k$. The functional linear model is estimated by: $$\hat{y}=\big< X,\hat{\beta} \big> \approx \sum_{k=1}^{k_n}\tilde{\gamma}_{k}\tilde{\beta}_k$$ The response can be fitted by:
  • $\lambda=0$, no penalization,$$\hat{y}=\nu_k^{\top}(\nu_k^{\top}\nu_k)^{-1}\nu_k^{\top}y$$
  • Penalized regression,$\lambda>0$and$P\neq0$. For example,$P=c(0,0,1)$penalizes the second derivative (curvature) byP=P.penalty(fdataobj["argvals"],P),$$\hat{y}=\nu_k^{\top}(\nu_k\top \nu_k+\lambda \nu_k^{\top} \textbf{P}\nu_k)^{-1}\nu_k^{\top}y$$

References

Preda C. and Saporta G. PLS regression on a stochastic process. Comput. Statist. Data Anal. 48 (2005): 149{-}158. N. Kraemer, A.-L. Boulsteix, and G. Tutz (2008). Penalized Partial Least Squares with Applications to B-Spline Transformations and Functional Data. Chemometrics and Intelligent Laboratory Systems, 94, 60 - 69. http://dx.doi.org/10.1016/j.chemolab.2008.06.009 Martens, H., Naes, T. (1989) Multivariate calibration. Chichester: Wiley. Kraemer, N., Sugiyama M. (2011). The Degrees of Freedom of Partial Least Squares Regression. Journal of the American Statistical Association. Volume 106, 697-705. Febrero-Bande, M., Oviedo de la Fuente, M. (2012). Statistical Computing in Functional Data Analysis: The R Package fda.usc. Journal of Statistical Software, 51(4), 1-28. http://www.jstatsoft.org/v51/i04/

See Also

See Also as: P.penalty and fregre.pls.cv. Alternative method: fregre.pc.

Examples

Run this code
data(tecator)
x<-tecator$absorp.fdata
y<-tecator$y$Fat
res=fregre.pc(x,y,c(1:8))
summary(res)
res2=fregre.pls(x,y,c(1:8),lambda=10)
summary(res2)

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