crossval {pls} | R Documentation |
A “stand alone” cross-validation function for mvr
objects.
crossval(object, segments = 10, segment.type = c("random", "consecutive", "interleaved"), length.seg, jackknife = FALSE, trace = 15, ...)
object |
an mvr object; the regression to cross-validate. |
segments |
the number of segments to use, or a list with segments
(see below). Ignored if loo = TRUE . |
segment.type |
the type of segments to use. Ignored if
segments is a list. |
length.seg |
Positive integer. The length of the segments to
use. If specified, it overrides segments unless
segments is a list. |
jackknife |
logical. Whether jackknifing of regression coefficients should be performed. |
trace |
if TRUE , tracing is turned on. If numeric, it
denotes a time limit (in seconds). If the estimated total time of
the cross-validation exceeds this limit, tracing is turned on. |
... |
additional arguments, sent to the underlying fit function. |
This function performs cross-validation on a model fit by mvr
.
It can handle models such as plsr(y ~ msc(X), ...)
or other
models where the predictor variables need to be recalculated for each
segment. When recalculation is not needed, the result of
crossval(mvr(...))
is identical to mvr(...,
validation = "CV")
, but slower.
Note that to use crossval
, the data must be specified
with a data
argument when fitting object
.
If segments
is a list, the arguments segment.type
and
length.seg
are ignored. The elements of the list should be
integer vectors specifying the indices of the segments. See
cvsegments
for details.
Otherwise, segments of type segment.type
are generated. How
many segments to generate is selected by specifying the number of
segments in segments
, or giving the segment length in
length.seg
. If both are specified, segments
is
ignored.
If jackknife
is TRUE
, jackknifed regression coefficients
are returned, which can be used for for variance estimation
(var.jack
) or hypothesis testing (jack.test
).
When tracing is turned on, the segment number is printed for each segment.
The supplied object
is returned, with an additional component
validation
, which is a list with components
method |
euqals "CV" for cross-validation. |
pred |
an array with the cross-validated predictions. |
coefficients |
(only if jackknife is TRUE ) an array
with the jackknifed regression coefficients. The dimensions
correspond to the predictors, responses, number of components, and
segments, respectively. |
PRESS0 |
a vector of PRESS values (one for each response variable) for a model with zero components, i.e., only the intercept. |
PRESS |
a matrix of PRESS values for models with 1, ...,
ncomp components. Each row corresponds to one response variable. |
adj |
a matrix of adjustment values for calculating bias
corrected MSEP. MSEP uses this. |
segments |
the list of segments used in the cross-validation. |
ncomp |
the number of components. |
The PRESS0
is always cross-validated using leave-one-out
cross-validation. This usually makes little difference in practice,
but should be fixed for correctness.
The current implementation of the jackknife stores all jackknife-replicates of the regression coefficients, which can be very costly for large matrices. This might change in a future version.
Ron Wehrens and Bjørn-Helge Mevik
Mevik, B.-H., Cederkvist, H. R. (2004) Mean Squared Error of Prediction (MSEP) Estimates for Principal Component Regression (PCR) and Partial Least Squares Regression (PLSR). Journal of Chemometrics, 18(9), 422–429.
mvr
mvrCv
cvsegments
MSEP
var.jack
jack.test
data(yarn) yarn.pcr <- pcr(density ~ msc(NIR), 6, data = yarn) yarn.cv <- crossval(yarn.pcr, segments = 10) ## Not run: plot(MSEP(yarn.cv))