varEst (version 0.1.0)

bsrcv: Variance Estimation with Bootstrap-RCV

Description

Estimation of error variance using Bootstrap-refitted cross validation method in ultrahigh dimensional dataset.

Usage

bsrcv(x,y,a,b,d,method=c("spam","lasso","lsr"))

Arguments

x

a matrix of markers or explanatory variables, each column contains one marker and each row represents an individual.

y

a column vector of response variable.

a

value of alpha, range is 0<=a<=1 where, a=1 is LASSO penalty and a=0 is Ridge penalty.If variable selection method is LASSO then providing value to a is compulsory. For other methods a should be NULL.

b

number of bootstrap samples.

d

number of variables to be selected from x.

method

variable selection method, user can choose any method among "spam", "lasso", "lsr"

Value

Error variance

Details

In this method, bootstrap samples are taken from the original datasets and then RCV (Fan et al., 2012) method is applied to each of these bootstrap samples.

References

Fan, J., Guo, S., Hao, N. (2012).Variance estimation using refitted cross-validation in ultrahigh dimensional regression. Journal of the Royal Statistical Society, 74(1), 37-65 Ravikumar, P., Lafferty, J., Liu, H. and Wasserman, L. (2009). Sparse additive models. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 71(5), 1009-1030 Tibshirani, R. (1996). Regression shrinkage and selection via the Lasso. Journal of Royal Statistical Society, 58, 267-288

Examples

# NOT RUN {
## data simulation
marker <- as.data.frame(matrix(NA, ncol =500, nrow = 200))
for(i in 1:500){
marker[i] <- sample(1:3, 200, replace = TRUE, prob = c(1, 2, 1))
}
pheno <- marker[,1]*1.41+marker[,2]*1.41+marker[,3]*1.41+marker[,4]*1.41+marker[,5]*1.41

pheno <- as.matrix(pheno)
marker<- as.matrix(marker)

## estimation of error variance
var <- bsrcv(marker,pheno,1,10,5,"lasso")
# }