islasso (version 1.5.2)

aic.islasso: Optimization for the selection of the tuning parameter

Description

This function performs a minimization of the AIC/BIC criterion for selecting the tuning parameter in “islasso”.

Usage

aic.islasso(object, method = c("AIC", "BIC", "AICc", "GCV", "GIC"), 
  interval, g = 0, y, X, 
  intercept = FALSE, family = gaussian(), alpha = 1, offset, 
  weights, unpenalized, control = is.control(), trace = TRUE)

Value

the optimal lambda value is returned

Arguments

object

a fitted model object of class "islasso".

method

the criterion to optimize, AIC, BIC, AICc, GCV, GIC.

interval

the lower and upper limits of \(\lambda\) wherein the AIC/BIC criterion should be optimized. Can be missing, if object has been obtained via cross-validation (and therefore includes the range of lambdas)

g

a value belonging to the interval [0, 1]. Classical BIC is returned by letting g = 0 (default value), whereas extended BIC corresponds to the case g = 0.5.

y

if object is missing, the response vector of length n.

X

if object is missing, the design matrix of dimension n * p.

intercept

if object is missing, if TRUE the intercept is added to the model matrix.

family

if object is missing, a description of the error distribution, family=gaussian, family=binomial and family=poisson are implemented with canonical link.

alpha

The elasticnet mixing parameter, with \(0\le\alpha\le 1\). The penalty is defined as $$(1-\alpha)/2||\beta||_2^2+\alpha||\beta||_1.$$ alpha=1 is the lasso penalty, and alpha=0 the ridge penalty.

offset

this can be used to specify an a priori known component to be included in the linear predictor during fitting. This should be NULL or a numeric vector of length equal to the number of cases.

weights

observation weights. Default is 1 for each observation.

unpenalized

a vector used to specify the unpenalized estimators; unpenalized has to be a vector of logicals.

control

a list of parameters for controlling the fitting process (see islasso.control for more details).

trace

Should the iterative procedure be printed? TRUE is the default value.

Author

Maintainer: Gianluca Sottile <[e-mail]>

Details

Minimization of the Akaike Information Criterion (AIC), or Bayesian Information Criterion (BIC) or several other criteria are sometimes employed to select the tuning parameter as an alternative to the cross validation. The model degrees of freedom (not necessarly integers as in the plain lasso) used in all methods are computed as trace of the hat matrix at convergence.

See Also

islasso.fit, summary.islasso, residuals.islasso, logLik.islasso, predict.islasso and deviance.islasso methods.

Examples

set.seed(1)
n <- 100
p <- 100
p1 <- 20  #number of nonzero coefficients
coef.veri <- sort(round(c(seq(.5, 3, l=p1/2), seq(-1, -2, l=p1/2)), 2))
sigma <- 1

coef <- c(coef.veri, rep(0, p-p1))

X <- matrix(rnorm(n*p), n, p)
mu <- drop(X%*%coef)
y <- mu + rnorm(n, 0, sigma)

o <- islasso(y ~ ., data = data.frame(y = y, X))

if (FALSE) {
#use the evaluation interval of the fit
lambda_aic <- aic.islasso(o, method = "AIC") 

#overwrites the evaluation interval for lambda
lambda_bic <- aic.islasso(o, interval = c(.1, 30), method = "BIC") 

#overwrites the evaluation interval for lambda using eBIC criterion
lambda_ebic <- aic.islasso(o, interval = c(.1, 30), method = "BIC", g = .5) 
}