This is a convenience wrapper around pense_cv() and regmest_cv(), for
the common use-case of computing
a highly-robust S-estimate followed by a more efficient M-estimate using
the scale of the residuals from the S-estimate.
pensem_cv(x, ...)
# Default S3 method
pensem_cv(
x,
y,
alpha = 0.5,
nlambda = 50,
lambda_min_ratio,
lambda_m,
lambda_s,
standardize = TRUE,
penalty_loadings,
intercept = TRUE,
bdp = 0.25,
ncores = 1,
sparse = FALSE,
eps = 1e-06,
cc = 4.7,
cv_k = 5,
cv_repl = 1,
cl = NULL,
cv_metric = c("tau_size", "mape", "rmspe"),
add_zero_based = TRUE,
explore_solutions = 10,
explore_tol = 0.1,
explore_it = 5,
max_solutions = 10,
fit_all = TRUE,
comparison_tol = sqrt(eps),
algorithm_opts = mm_algorithm_options(),
mscale_opts = mscale_algorithm_options(),
nlambda_enpy = 10,
enpy_opts = enpy_options(),
...
)
# S3 method for class 'pense_cvfit'
pensem_cv(
x,
scale,
alpha,
nlambda = 50,
lambda_min_ratio,
lambda_m,
standardize = TRUE,
penalty_loadings,
intercept = TRUE,
bdp = 0.25,
ncores = 1,
sparse = FALSE,
eps = 1e-06,
cc = 4.7,
cv_k = 5,
cv_repl = 1,
cl = NULL,
cv_metric = c("tau_size", "mape", "rmspe"),
add_zero_based = TRUE,
explore_solutions = 10,
explore_tol = 0.1,
explore_it = 5,
max_solutions = 10,
fit_all = TRUE,
comparison_tol = sqrt(eps),
algorithm_opts = mm_algorithm_options(),
mscale_opts = mscale_algorithm_options(),
x_train,
y_train,
...
)either a numeric matrix of predictor values, or a cross-validated
PENSE fit from pense_cv().
ignored. See the section on deprecated parameters below.
vector of response values of length n.
For binary classification, y should be a factor with 2 levels.
elastic net penalty mixing parameter with \(0 \le \alpha \le 1\).
alpha = 1 is the LASSO penalty, and alpha = 0 the Ridge penalty.
Can be a vector of several values, but alpha = 0 cannot be mixed with other values.
number of penalization levels.
Smallest value of the penalization level as a fraction of the largest
level (i.e., the smallest value for which all coefficients are zero). The default depends on
the sample size relative to the number of variables and alpha. If more observations than
variables are available, the default is 1e-3 * alpha, otherwise 1e-2 * alpha.
optional user-supplied sequence of penalization
levels for the S- and M-estimates.
If given and not NULL, nlambda and lambda_min_ratio are ignored for
the respective estimate (S and/or M).
logical flag to standardize the x variables prior to fitting the PENSE
estimates. Coefficients are always returned on the original scale. This can fail for
variables with a large proportion of a single value (e.g., zero-inflated data).
In this case, either compute with standardize = FALSE or standardize the data manually.
a vector of positive penalty loadings (a.k.a. weights) for different
penalization of each coefficient. Only allowed for alpha > 0.
include an intercept in the model.
desired breakdown point of the estimator, between 0.05 and 0.5. The actual breakdown point may be slightly larger/smaller to avoid instabilities of the S-loss.
number of CPU cores to use in parallel. By default, only one CPU core is used. Not supported on all platforms, in which case a warning is given.
use sparse coefficient vectors.
numerical tolerance.
cutoff constant for Tukey's bisquare \(\rho\) function in the M-estimation objective function.
number of folds per cross-validation.
number of cross-validation replications.
a parallel cluster. Can only be used in combination with
ncores = 1.
either a string specifying the performance metric to use, or a function to evaluate prediction errors in a single CV replication. If a function, the number of arguments define the data the function receives. If the function takes a single argument, it is called with a single numeric vector of prediction errors. If the function takes two or more arguments, it is called with the predicted values as first argument and the true values as second argument. The function must always return a single numeric value quantifying the prediction performance. The order of the given values corresponds to the order in the input data.
also consider the 0-based regularization path. See details for a description.
number of solutions to compute up to the desired precision eps.
numerical tolerance and maximum number of iterations for
exploring possible solutions. The tolerance should be (much) looser than eps to be useful,
and the number of iterations should also be much smaller than the maximum number of
iterations given via algorithm_opts.
only retain up to max_solutions unique solutions per penalization level.
If TRUE, fit the model for all penalization levels.
Can also be any combination of "min" and "{x}-se", in which case only models at the
penalization level with smallest average CV accuracy, or within {x} standard errors,
respectively.
Setting fit_all to FALSE is equivalent to "min".
Applies to all alpha value.
numeric tolerance to determine if two solutions are equal.
The comparison is first done on the absolute difference in the value of the objective
function at the solution If this is less than comparison_tol, two solutions are deemed
equal if the squared difference of the intercepts is less than comparison_tol and the
squared \(L_2\) norm of the difference vector is less than comparison_tol.
options for the MM algorithm to compute the estimates.
See mm_algorithm_options() for details.
options for the M-scale estimation. See mscale_algorithm_options()
for details.
number of penalization levels where the EN-PY initial estimate is computed.
options for the ENPY initial estimates, created with the
enpy_options() function. See enpy_initial_estimates() for details.
initial scale estimate to use in the M-estimation. By default the S-scale from the PENSE fit is used.
override arguments x and y as provided in the
call to pense_cv(). This is useful if the arguments in the pense_cv()
call are not available in the current environment.
an object of cross-validated regularized M-estimates as returned
from regmest_cv().
The built-in CV metrics are
"tau_size"\(\tau\)-size of the prediction error, computed by
tau_size() (default).
"mape"Median absolute prediction error.
"rmspe"Root mean squared prediction error.
"auroc"Area under the receiver operator characteristic curve (actually 1 - AUROC). Only sensible for binary responses.
pense_cv() to compute the starting S-estimate.
Other functions to compute robust estimates with CV:
pense_cv(),
regmest_cv()