R: True Squared Error LOSS of Shrinkage for a Simulated Response...
RXtsimu
R Documentation
True Squared Error LOSS of Shrinkage for a Simulated Response Y-vector
Description
By specifying numerical values for regression parameters (uncorrelated components and error
sigma) that usually are unknown, these functions allow the user to simulate response data and
display the True Squared Error Loss associated with shrinkage along a given Q-shaped path.
A regression formula [y~x1+x2+...] suitable for use with lm().
data
Data frame containing observations on all variables in the formula.
trug
Column vector of numerical values for the true uncorrelated components
of the regression coefficient vector.
trus
Numerical value for the true error standard deviation, Sigma.
Q
Numerical value for the shape parameter controling the shrinkage path curvature.
Default shape is Q = 0 for Hoerl-Kennard "ordinary" ridge regression.
rscale
One of three possible choices (0, 1 or 2) for rescaling of variables
as they are being "centered" to remove non-essential ill-conditioning: 0 implies no
rescaling; 1 implies divide each variable by its standard error; 2 implies rescale as
in option 1 but re-express answers as in option 0.
steps
Number of equally spaced values per unit change along the horizontal
M-extent-of-shrinkage axis where estimates are calculated and displayed in TRACEs
(default = 8.)
seed
Seed for random number generator. To get two different simulated response
vectors and different sets of coefficients and SE losses, invoke the RXtsimu() function
twice with different seed values. (default = 0123.)
qmax
Maximum allowed Q-shape (default = +5.)
qmin
Minimum allowed Q-shape (default = -5.)
Details
The RXridge() functions calculate maximum likelihood estimates (corrected, if
necessary, so as to have correct range) for typical statistical inference situations where
regression parameters are unknowns. In sharp contrast with this usual situation, the
RXtsimu() functions show exactly how regression coefficient estimates and their true
Squared Error Losses change with shrinkage for a simulated response Y-vector generated
using given numerical values for regression parameters. In fact, it is interesting to
compare the output from RXtrisk() and RXtsimu() for given regression parameters to the
corresponding output from RXridge() on the data.frame in which any original response
Y-vector has been replaced by the ydat object from the RXtsimu() output list.
Value
An output list object of class RXtsimu:
form
The regression formula specified as the first argument.
data
Name of the data.frame object specified as the second argument.
trug
Vector of numerical values for the true uncorrelated gamma components.
trus
Numerical value for the true error standard deviation, Sigma.
qp
Numerical value of the Q-shape actually used for shrinkage.
p
Number of regression predictor variables.
n
Number of complete observations after removal of all missing values.
prinstat
Listing of principal statistics.
ydat
Matrix with simulated Y-responses in its first column and the true expected
values of those responses in its second column.
coef
Matrix of shrinkage-ridge regression coefficient estimates.
rsel
Matrix of true relative SE losses in regression coefficient estimates.
spat
Matrix of shrinkage pattern multiplicative delta factors.
sext
Listing of summary statistics for all M-extents-of-shrinkage.
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
> library(RXshrink)
Loading required package: lars
Loaded lars 1.2
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/RXshrink/RXtsimu.Rd_%03d_medium.png", width=480, height=480)
> ### Name: RXtsimu
> ### Title: True Squared Error LOSS of Shrinkage for a Simulated Response
> ### Y-vector
> ### Aliases: RXtsimu
> ### Keywords: regression hplot
>
> ### ** Examples
>
> data(haldport)
> form <- heat~p3ca+p3cs+p4caf+p2cs
> rxrobj <- RXridge(form, data=haldport)
> plot(rxrobj)
> # define true parameter values.
> trugam <- matrix(c(.8,.0,.3,.5),4,1)
> trusig <- 0.2
> # create true shrinkage MSE risk scenario.
> trumse <- RXtrisk(form, data=haldport, trugam, trusig, Q=-5)
> # calculate true shrinkage squared error losses.
> trusim <- RXtsimu(form, data=haldport, trugam, trusig, Q=-5)
> haldpsim <- haldport
> haldpsim[,5] <- trusim$ydat[,1]
> rxsobj <- RXridge(form, data=haldpsim) # analysis as if parameters unknown
> plot(rxsobj)
>
>
>
>
>
> dev.off()
null device
1
>