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CVE/CVE/man/cve.call.Rd

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% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/CVE.R
\name{cve.call}
\alias{cve.call}
\title{Conditional Variance Estimator (CVE).}
\usage{
cve.call(X, Y, method = "simple", nObs = sqrt(nrow(X)), h = NULL,
min.dim = 1L, max.dim = 10L, k = NULL, momentum = 0, tau = 1,
tol = 0.001, slack = 0, gamma = 0.5, V.init = NULL,
max.iter = 50L, attempts = 10L, logger = NULL)
}
\arguments{
\item{X}{Design predictor matrix.}
\item{Y}{\eqn{n}-dimensional vector of responces.}
\item{method}{specifies the CVE method variation as one of
\itemize{
\item "simple" exact implementation as described in the paper listed
below.
\item "weighted" variation with addaptive weighting of slices.
}}
\item{nObs}{parameter for choosing bandwidth \code{h} using
\code{\link{estimate.bandwidth}} (ignored if \code{h} is supplied).}
\item{h}{bandwidth or function to estimate bandwidth, defaults to internaly
estimated bandwidth.}
\item{min.dim}{lower bounds for \code{k}, (ignored if \code{k} is supplied).}
\item{max.dim}{upper bounds for \code{k}, (ignored if \code{k} is supplied).}
\item{k}{Dimension of lower dimensional projection, if \code{k} is given
only the specified dimension \code{B} matrix is estimated.}
\item{momentum}{number of \eqn{[0, 1)} giving the ration of momentum for
eucledian gradient update with a momentum term. \code{momentum = 0}
corresponds to normal gradient descend.}
\item{tau}{Initial step-size.}
\item{tol}{Tolerance for break condition.}
\item{slack}{Positive scaling to allow small increases of the loss while
optimizing, i.e. \code{slack = 0.1} allows the target function to
increase up to \eqn{10 \%} in one optimization step.}
\item{gamma}{step-size reduction multiple. If gradient step with step size
\code{tau} is not accepted \code{gamma * tau} is set to the next step
size.}
\item{V.init}{Semi-orthogonal matrix of dimensions `(ncol(X), ncol(X) - k)
used as starting value in the optimization. (If supplied,
\code{attempts} is set to 0 and \code{k} to match dimension).}
\item{max.iter}{maximum number of optimization steps.}
\item{attempts}{If \code{V.init} not supplied, the optimization is carried
out \code{attempts} times with starting values drawn from the invariant
measure on the Stiefel manifold (see \code{\link{rStiefel}}).}
\item{logger}{a logger function (only for advanced users, slows down the
computation).}
}
\value{
an S3 object of class \code{cve} with components:
\describe{
\item{X}{design matrix of predictor vector used for calculating
cve-estimate,}
\item{Y}{\eqn{n}-dimensional vector of responses used for calculating
cve-estimate,}
\item{method}{Name of used method,}
\item{call}{the matched call,}
\item{res}{list of components \code{V, L, B, loss, h} for
each \code{k = min.dim, ..., max.dim}. If \code{k} was supplied in the
call \code{min.dim = max.dim = k}.
\itemize{
\item \code{B} is the cve-estimate with dimension
\eqn{p\times k}{p x k}.
\item \code{V} is the orthogonal complement of \eqn{B}.
\item \code{L} is the loss for each sample seperatels such that
it's mean is \code{loss}.
\item \code{loss} is the value of the target function that is
minimized, evaluated at \eqn{V}.
\item \code{h} bandwidth parameter used to calculate
\code{B, V, loss, L}.
}
}
}
}
\description{
This is the main function in the \code{CVE} package. It creates objects of
class \code{"cve"} to estimate the mean subspace. Helper functions that
require a \code{"cve"} object can then be applied to the output from this
function.
}
\examples{
# create B for simulation (k = 1)
B <- rep(1, 5) / sqrt(5)
set.seed(21)
# creat predictor data X ~ N(0, I_p)
X <- matrix(rnorm(500), 100, 5)
# simulate response variable
# Y = f(B'X) + err
# with f(x1) = x1 and err ~ N(0, 0.25^2)
Y <- X \%*\% B + 0.25 * rnorm(100)
# calculate cve with method 'simple' for k = 1
set.seed(21)
cve.obj.simple1 <- cve(Y ~ X, k = 1)
# same as
set.seed(21)
cve.obj.simple2 <- cve.call(X, Y, k = 1)
# extract estimated B's.
coef(cve.obj.simple1, k = 1)
coef(cve.obj.simple2, k = 1)
}