cv.irglmreg function

Cross-validation for irglmreg

Does k-fold cross-validation for irglmreg, produces a plot, and returns cross-validated log-likelihood values for lambda

## S3 method for class 'formula'
cv.irglmreg(formula, data, weights, offset=NULL, ...)
## S3 method for class 'matrix'
cv.irglmreg(x, y, weights, offset=NULL, ...)
## Default S3 method:
cv.irglmreg(x,  ...)
## S3 method for class 'cv.irglmreg'
plot(x,se=TRUE,ylab=NULL, main=NULL, width=0.02, col="darkgrey", ...)
## S3 method for class 'cv.irglmreg'
coef(object,which=object$lambda.which, ...)

Arguments

• formula: symbolic description of the model, see details.
• data: argument controlling formula processing via model.frame.
• x: x matrix as in irglmreg. It could be object of cv.irglmreg.
• y: response y as in irglmreg.
• weights: Observation weights; defaults to 1 per observation
• offset: Not implemented yet
• object: object of cv.irglmreg
• which: Indices of the penalty parameter lambda at which estimates are extracted. By default, the one which generates the optimal cross-validation value.
• se: logical value, if TRUE, standard error curve is also plotted
• ylab: ylab on y-axis
• main: title of plot
• width: width of lines
• col: color of standard error curve
• ...: Other arguments that can be passed to irglmreg.

Details

The function runs irglmreg nfolds+1 times; the first to compute the lambda sequence, and then to compute the fit with each of the folds omitted. The error or the loss value is accumulated, and the average value and standard deviation over the folds is computed. Note that cv.irglmreg can be used to search for values for alpha: it is required to call cv.irglmreg with a fixed vector foldid for different values of alpha.

Returns

an object of class "cv.irglmreg" is returned, which is a list with the ingredients of the cross-validation fit. - fit: a fitted irglmreg object for the full data.

• residmat: matrix of log-likelihood values with row values for lambda and column values for kth cross-validation

• bic: matrix of BIC values with row values for lambda and column values for kth cross-validation

• cv: The mean cross-validated log-likelihood values - a vector of length length(lambda).

• cv.error: estimate of standard error of cv.

• foldid: an optional vector of values between 1 and nfold

  identifying what fold each observation is in.

• lambda: a vector of lambda values

• lambda.which: index of lambda that gives minimum cv value.

• lambda.optim: value of lambda that gives minimum cv value.

References

Zhu Wang (2024) Unified Robust Estimation, Australian & New Zealand Journal of Statistics. 66(1):77-102.

Author(s)

Zhu Wang zwang145@uthsc.edu

See Also

irglmreg and plot, predict, and coef methods for "cv.irglmreg" object.