gpboost (version 0.7.9)

predict.GPModel: Make predictions for a GPModel

Description

Make predictions for a GPModel

Usage

# S3 method for GPModel
predict(object, y = NULL, group_data_pred = NULL,
  group_rand_coef_data_pred = NULL, gp_coords_pred = NULL,
  gp_rand_coef_data_pred = NULL, cluster_ids_pred = NULL,
  predict_cov_mat = FALSE, predict_var = FALSE, cov_pars = NULL,
  X_pred = NULL, use_saved_data = FALSE, vecchia_pred_type = NULL,
  num_neighbors_pred = NULL, cg_delta_conv_pred = NULL,
  predict_response = FALSE, ...)

Value

Predictions made using a GPModel. It returns a list of length three. The first entry ('mu') is the predicted mean, the second entry ('cov') is the predicted covariance matrix (=NULL if 'predict_cov_mat=FALSE'), and the third entry ('var') are predicted variances (=NULL if 'predict_var=FALSE')

Arguments

object

a GPModel

y

Observed data (can be NULL, e.g. when the model has been estimated already and the same data is used for making predictions)

group_data_pred

A vector or matrix with elements being group levels for which predictions are made (if there are grouped random effects in the GPModel)

group_rand_coef_data_pred

A vector or matrix with covariate data for grouped random coefficients (if there are some in the GPModel)

gp_coords_pred

A matrix with prediction coordinates (=features) for Gaussian process (if there is a GP in the GPModel)

gp_rand_coef_data_pred

A vector or matrix with covariate data for Gaussian process random coefficients (if there are some in the GPModel)

cluster_ids_pred

A vector with elements indicating the realizations of random effects / Gaussian processes for which predictions are made (set to NULL if you have not specified this when creating the GPModel)

predict_cov_mat

A boolean. If TRUE, the (posterior) predictive covariance is calculated in addition to the (posterior) predictive mean

predict_var

A boolean. If TRUE, the (posterior) predictive variances are calculated

cov_pars

A vector containing covariance parameters which are used if the GPModel has not been trained or if predictions should be made for other parameters than the trained ones

X_pred

A matrix with prediction covariate data for the fixed effects linear regression term (if there is one in the GPModel)

use_saved_data

A boolean. If TRUE, predictions are done using a priory set data via the function '$set_prediction_data' (this option is not used by users directly)

vecchia_pred_type

A string specifying the type of Vecchia approximation used for making predictions. "order_obs_first_cond_obs_only" = observed data is ordered first and the neighbors are only observed points, "order_obs_first_cond_all" = observed data is ordered first and the neighbors are selected among all points (observed + predicted), "order_pred_first" = predicted data is ordered first for making predictions, "latent_order_obs_first_cond_obs_only" = Vecchia approximation for the latent process and observed data is ordered first and neighbors are only observed points, "latent_order_obs_first_cond_all" = Vecchia approximation for the latent process and observed data is ordered first and neighbors are selected among all points

num_neighbors_pred

an integer specifying the number of neighbors for the Vecchia approximation for making predictions

cg_delta_conv_pred

a numeric specifying the olerance level for L2 norm of residuals for checking convergence in conjugate gradient algorithm when being used for prediction

predict_response

A boolean. If TRUE, the response variable (label) is predicted, otherwise the latent random effects (this is only relevant for non-Gaussian data)

...

(not used, ignore this, simply here that there is no CRAN warning)

Author

Fabio Sigrist

Examples

# See https://github.com/fabsig/GPBoost/tree/master/R-package for more examples

data(GPBoost_data, package = "gpboost")
# Add intercept column
X1 <- cbind(rep(1,dim(X)[1]),X)
X_test1 <- cbind(rep(1,dim(X_test)[1]),X_test)

#--------------------Grouped random effects model: single-level random effect----------------
gp_model <- fitGPModel(group_data = group_data[,1], y = y, X = X1,
                       likelihood="gaussian", params = list(std_dev = TRUE))
summary(gp_model)
# Make predictions
pred <- predict(gp_model, group_data_pred = group_data_test[,1], 
                X_pred = X_test1, predict_var = TRUE)
pred$mu # Predicted mean
pred$var # Predicted variances
# Also predict covariance matrix
pred <- predict(gp_model, group_data_pred = group_data_test[,1], 
                X_pred = X_test1, predict_cov_mat = TRUE)
pred$mu # Predicted mean
pred$cov # Predicted covariance


# \donttest{
#--------------------Gaussian process model----------------
gp_model <- fitGPModel(gp_coords = coords, cov_function = "exponential",
                       likelihood="gaussian", y = y, X = X1, params = list(std_dev = TRUE))
summary(gp_model)
# Make predictions
pred <- predict(gp_model, gp_coords_pred = coords_test, 
                X_pred = X_test1, predict_cov_mat = TRUE)
pred$mu # Predicted (posterior) mean of GP
pred$cov # Predicted (posterior) covariance matrix of GP
# }