204 lines
6.8 KiB
R
204 lines
6.8 KiB
R
predict_dim_cv <- function(object) {
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# Get centered training data and dimensions
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X <- scale(object$X, center = TRUE, scale = FALSE)
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n <- nrow(object$X) # umber of training data samples
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Sigma <- (1 / n) * crossprod(X, X)
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eig <- eigen(Sigma)
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Sigma_root <- eig$vectors %*% tcrossprod(diag(sqrt(eig$values)), eig$vectors)
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X <- X %*% solve(Sigma_root)
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pred <- array(0, c(n, ncol(object$Fy), length(object$res)),
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dimnames = list(NULL, NULL, names(object$res)))
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for (dr.k in object$res) {
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# get "name" of current dimension
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k <- as.character(dr.k$k)
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# Project dataset with current SDR basis
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X.proj <- X %*% dr.k$B
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for (i in 1:n) {
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model <- mda::mars(X.proj[-i, ], object$Fy[-i, ])
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pred[i, , k] <- predict(model, X.proj[i, , drop = FALSE])
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}
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}
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MSE <- apply((pred - as.numeric(object$Fy))^2, 3, mean)
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return(list(
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MSE = MSE,
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k = as.integer(names(which.min(MSE)))
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))
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}
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predict_dim_elbow <- function(object) {
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if (ncol(object$Fy) > 1) # TODO: Implement or find better way
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stop("For multivariate or central models not supported yet.")
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# extract original data from object (cve result)
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X <- object$X
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Y <- object$Y
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# Get dimensions
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n <- nrow(X)
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p <- ncol(X)
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losses <- vector("double", length(object$res))
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names(losses) <- names(object$res)
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# Compute per sample losses with alternative bandwidth for each dimension.
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for (dr.k in object$res) {
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# extract dimension specific estimates and dimensions.
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k <- dr.k$k
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V <- dr.k$V
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# estimate bandwidth according alternative formula.
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h <- estimate.bandwidth(X, k, sqrt(n), version = 2L)
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# Projected `X`
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XQ <- X %*% (diag(1, p) - tcrossprod(V)) # X (I - V V')
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# Compute distances
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d2 <- tcrossprod(XQ) # XQ XQ'
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d1 <- matrix(diag(d2), n, n)
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D <- d1 - 2 * d2 + t(d1)
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# Apply kernel
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# Note: CVE uses for d = ||Q(X_i - X_j)|| the kernel exp(-d^4 / (2 h^2))
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K <- exp((-0.5 / h^2) * D^2)
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# sum columns
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colSumsK <- colSums(K)
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# compute weighted and square meighted reponses
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y1 <- (K %*% Y) / colSumsK
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y2 <- (K %*% Y^2) / colSumsK
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# total loss
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losses[[as.character(k)]] <- mean(y2 - y1^2)
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}
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return(list(
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losses = losses,
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k = as.integer(names(which.min(losses)))
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))
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}
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predict_dim_wilcoxon <- function(object, p.value = 0.05) {
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if (ncol(object$Fy) > 1) # TODO: Implement or find better way
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stop("For multivariate or central models not supported yet.")
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# extract original data from object (cve result)
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X <- object$X
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Y <- object$Y
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# Get dimensions
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n <- nrow(X)
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p <- ncol(X)
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L <- matrix(NA, n, length(object$res))
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colnames(L) <- names(object$res)
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# Compute per sample losses with alternative bandwidth for each dimension.
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for (dr.k in object$res) {
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# extract dimension specific estimates and dimensions.
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k <- dr.k$k
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V <- dr.k$V
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# estimate bandwidth according alternative formula.
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h <- estimate.bandwidth(X, k, sqrt(n), version = 2L)
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# Projected `X`
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XQ <- X %*% (diag(1, p) - tcrossprod(V)) # X (I - V V')
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# Compute distances
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d2 <- tcrossprod(XQ) # XQ XQ'
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d1 <- matrix(diag(d2), n, n)
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D <- d1 - 2 * d2 + t(d1)
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# Apply kernel
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# Note: CVE uses for d = ||Q(X_i - X_j)|| the kernel exp(-d^4 / (2 h^2))
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K <- exp((-0.5 / h^2) * D^2)
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# sum columns
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colSumsK <- colSums(K)
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# compute weighted and square meighted reponses
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y1 <- (K %*% Y) / colSumsK
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y2 <- (K %*% Y^2) / colSumsK
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# element-wise L for dim. k
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L[, as.character(k)] <- y2 - y1^2
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}
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for (ind in seq_len(length(object$res) - 1L)) {
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p.test <- wilcox.test(L[, ind], L[, ind + 1L],
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alternative = "less")$p.value
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if (p.test < p.value) {
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return(list(
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p.value = p.test,
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k = object$res[[ind]]$k
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))
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}
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}
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return(list(
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p.value = NA,
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k = object$res[[length(object$res)]]$k
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))
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}
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#' Estimate Dimension of the Sufficient Reduction.
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#'
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#' This function estimates the dimension, i.e. the rank of \eqn{B}. The default
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#' method \code{'CV'} performs leave-one-out (LOO) cross-validation using
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#' \code{mars} as follows for \code{k = min.dim, ..., max.dim} a
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#' cross-validation via \code{mars} is
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#' performed on the dataset \eqn{(Y_i, B_k' X_i)_{i = 1, ..., n}} where
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#' \eqn{B_k} is the \eqn{p \times k}{p x k} dimensional CVE estimate. The
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#' estimated SDR dimension is the \eqn{k} where the
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#' cross-validation mean squared error is minimal. The method \code{'elbow'}
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#' estimates the dimension via \eqn{k = argmin_k L_n(V_{p - k})} where
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#' \eqn{V_{p - k}} is the space that is orthogonal to the column space of the
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#' CVE estimate of \eqn{B_k}. Method \code{'wilcoxon'} finds the minimum using
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#' the Wilcoxon test.
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#'
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#' @param object an object of class \code{"cve"}, usually, a result of a call to
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#' \code{\link{cve}} or \code{\link{cve.call}}.
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#' @param method This parameter specifies which method is used in dimension
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#' estimation. It provides three options: \code{'CV'} (default),
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#' \code{'elbow'} and \code{'wilcoxon'}.
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#' @param ... ignored.
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#'
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#' @return A \code{list} with
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#' \describe{
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#' \item{}{criterion for method and \code{k = min.dim, ..., max.dim}.}
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#' \item{k}{estimated dimension is the minimizer of the criterion.}
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#' }
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#'
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#' @examples
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#' # create B for simulation
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#' B <- rep(1, 5) / sqrt(5)
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#'
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#' set.seed(21)
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#' # creat predictor data x ~ N(0, I_p)
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#' x <- matrix(rnorm(500), 100)
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#'
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#' # simulate response variable
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#' # y = f(B'x) + err
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#' # with f(x1) = x1 and err ~ N(0, 0.25^2)
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#' y <- x %*% B + 0.25 * rnorm(100)
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#'
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#' # Calculate cve for unknown k between min.dim and max.dim.
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#' cve.obj.simple <- cve(y ~ x)
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#'
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#' predict_dim(cve.obj.simple)
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#'
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#' @export
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predict_dim <- function(object, ..., method = "CV") {
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# Check if there are dimensions to select.
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if (length(object$res) == 1L) {
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return(list(
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message = "Only one dim. estimated.",
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k = as.integer(names(object$res))
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))
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}
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# Determine method "fuzzy".
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methods <- c("cv", "elbow", "wilcoxon")
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names(methods) <- methods
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method <- methods[[tolower(method), exact = FALSE]]
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if (is.null(method)) {
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stop('Unable to determine method.')
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}
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if (method == "cv") {
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return(predict_dim_cv(object))
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} else if (method == "elbow") {
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return(predict_dim_elbow(object))
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} else if (method == "wilcoxon") {
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return(predict_dim_wilcoxon(object))
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} else {
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stop("Unable to determine method.")
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}
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}
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