innercv_roc function

Build ROC curve from left-out folds from inner CV

Build ROC (receiver operating characteristic) curve from left-out folds from inner CV. Object can be plotted using plot() or passed to functions pROC::auc() etc.

innercv_roc(x, direction = "<", ...)

Arguments

• x: a nestcv.glmnet or nestcv.train fitted object
• direction: Set ROC directionality pROC::roc
• ...: Other arguments passed to pROC::roc

Returns

"roc" object, see pROC::roc

Examples

## Example binary classification problem with P >> n
x <- matrix(rnorm(150 * 2e+04), 150, 2e+04)  # predictors
y <- factor(rbinom(150, 1, 0.5))  # binary response

## Partition data into 2/3 training set, 1/3 test set
trainSet <- caret::createDataPartition(y, p = 0.66, list = FALSE)

## t-test filter using whole dataset
filt <- ttest_filter(y, x, nfilter = 100)
filx <- x[, filt]

## Train glmnet on training set only using filtered predictor matrix
library(glmnet)
fit <- cv.glmnet(filx[trainSet, ], y[trainSet], family = "binomial")
plot(fit)

## Predict response on test partition
predy <- predict(fit, newx = filx[-trainSet, ], s = "lambda.min", type = "class")
predy <- as.vector(predy)
predyp <- predict(fit, newx = filx[-trainSet, ], s = "lambda.min", type = "response")
predyp <- as.vector(predyp)
output <- data.frame(testy = y[-trainSet], predy = predy, predyp = predyp)

## Results on test partition
## shows bias since univariate filtering was applied to whole dataset
predSummary(output)

## Nested CV
fit2 <- nestcv.glmnet(y, x, family = "binomial", alphaSet = 1,
                      filterFUN = ttest_filter,
                      filter_options = list(nfilter = 100),
                      n_outer_folds = 3)
summary(fit2)

## ROC plots
library(pROC)
testroc <- roc(output$testy, output$predyp, direction = "<")
inroc <- innercv_roc(fit2)
plot(fit2$roc)
lines(inroc, col = 'blue')
lines(testroc, col = 'red')
legend('bottomright', legend = c("Nested CV", "Left-out inner CV folds", 
                                 "Test partition, non-nested filtering"), 
       col = c("black", "blue", "red"), lty = 1, lwd = 2, bty = "n")