R: False inclusion rates for ncvreg (independence approximation)
fir
R Documentation
False inclusion rates for ncvreg (independence approximation)
Description
Estimates false inclusion rates (FIR) for penalized
regression models based on an approximation of independence between
the predictors.
Usage
fir(fit)
Arguments
fit
An ncvreg object.
Details
The function estimates the false inclusion rate (FIR) for a penalized
regression model. The calculation is based on an approximation of
independence between the predictors, and is reasonably accurate in
near-independent settings. However, the estimate is conservative when
predictors are correlated. For a more accurate estimate of the false
inclusion rate in the presence of correlated predictors, see
perm.ncvreg.
Value
An object with S3 class "fir" containing:
EF
The number of variables selected at each value of
lambda, averaged over the permutation fits.
S
The actual number of selected variables for the non-permuted
data.
FIR
The estimated false inclusion rate (EF/S).
Author(s)
Patrick Breheny <patrick-breheny@uiowa.edu>
See Also
ncvreg, plot.fir, perm.ncvreg
Examples
data(prostate)
X <- as.matrix(prostate[,1:8])
y <- prostate$lpsa
fit <- ncvreg(X, y)
f <- fir(fit)
cbind(EF=f$EF, S=f$S, FIR=f$FIR)[1:10,]
## Comparison with perm.ncvreg
par(mfrow=c(2,2))
plot(f)
plot(f, type="EF")
pmfit <- perm.ncvreg(X, y)
plot(pmfit)
plot(pmfit, type="EF")
## Note that fir() is more conservative