cv.spikeslab: K-fold Cross-Validation for Spike and Slab Regression

Description

Computes the K-fold cross-validated mean squared prediction error for the generalized elastic net from spike and slab regression. Returns a stability index for each variable.

Usage

cv.spikeslab(x = NULL, y = NULL, K = 10, plot.it = TRUE,
    n.iter1 = 500, n.iter2 = 500, mse = TRUE,
    bigp.smalln = FALSE, bigp.smalln.factor = 1, screen = (bigp.smalln),
    r.effects = NULL, max.var = 500, center = TRUE, intercept = TRUE,
    fast = TRUE, beta.blocks = 5, verbose = TRUE, ntree = 300,
    seed = NULL, ...)

Arguments

x-predictor matrix.

y-response values.

Number of folds.

plot.it

If TRUE, plots the mean prediction error and its standard error.

n.iter1

Number of burn-in Gibbs sampled values (i.e., discarded values).

n.iter2

Number of Gibbs sampled values, following burn-in.

mse

If TRUE, an external estimate for the overall variance is calculated.

bigp.smalln

Use if p >> n.

bigp.smalln.factor

Top n times this value of variables to be kept in the filtering step (used when p >> n).

screen

If TRUE, variables are first pre-filtered.

r.effects

List used for grouping variables (see details below).

max.var

Maximum number of variables allowed in the final model.

center

If TRUE, variables are centered by their means. Default is TRUE and should only be adjusted in extreme examples.

intercept

If TRUE, an intercept is included in the model, otherwise no intercept is included. Default is TRUE.

fast

If TRUE, use blocked Gibbs sampling to accelerate the algorithm.

beta.blocks

Update beta using this number of blocks (fast must be TRUE).

verbose

If TRUE, verbose output is sent to the terminal.

ntree

Number of trees used by random forests (applies only when mse is TRUE).

seed

Seed for random number generator. Must be a negative integer.

...

Further arguments passed to or from other methods.

Value

Invisibly returns a list with components:
cvK-dimensional vector of mean-squared errors for the gnet.
cv.pathA matrix of mean-squared errors for the gnet solution path. Rows correspond to model sizes, columns are the folds.
stabilityStability for each variable defined as the percentage of times a variable is identified over the K-folds.
gnet.pathgnet path from the full data, scaled in terms of the original x.
gnet.objgnet object from fitting the full data (a lars-type object).

References

Ishwaran H. and Rao J.S. (2005a). Spike and slab variable selection: frequentist and Bayesian strategies. Ann. Statist., 33:730-773.

Ishwaran H. and Rao J.S. (2009). Generalized ridge regression: geometry and computational solutions when p is larger than n.

Examples

Run this code

#------------------------------------------------------------
# Example:  10-fold validation
#------------------------------------------------------------

data(diabetesI, package = "spikeslab")
y <- diabetesI[,  1]
x <- diabetesI[, -1]
cv.obj <- cv.spikeslab(x = x, y = y)
print(head(cv.obj$stability, 25))