Type:	Package
Title:	Robust Methods for High-Dimensional Data
Version:	0.8.1
Date:	2024-06-30
Depends:	R (≥ 3.5.0), ggplot2 (≥ 0.9.2), perry (≥ 0.3.0), robustbase (≥ 0.9-5)
Imports:	MASS, Rcpp (≥ 0.9.10), grDevices, parallel, stats, utils
LinkingTo:	Rcpp (≥ 0.9.10), RcppArmadillo (≥ 0.3.0)
Suggests:	lars, mvtnorm, testthat
Description:	Robust methods for high-dimensional data, in particular linear model selection techniques based on least angle regression and sparse regression. Specifically, the package implements robust least angle regression (Khan, Van Aelst & Zamar, 2007; <doi:10.1198/016214507000000950>), (robust) groupwise least angle regression (Alfons, Croux & Gelper, 2016; <doi:10.1016/j.csda.2015.02.007>), and sparse least trimmed squares regression (Alfons, Croux & Gelper, 2013; <doi:10.1214/12-AOAS575>).
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/aalfons/robustHD
BugReports:	https://github.com/aalfons/robustHD/issues
LazyLoad:	yes
Author:	Andreas Alfons [aut, cre], Dirk Eddelbuettel [ctb]
Maintainer:	Andreas Alfons <alfons@ese.eur.nl>
Encoding:	UTF-8
RoxygenNote:	7.3.1
NeedsCompilation:	yes
Packaged:	2024-06-30 19:56:06 UTC; alfons
Repository:	CRAN
Date/Publication:	2024-06-30 20:40:02 UTC

Robust Methods for High-Dimensional Data

Description

Robust methods for high-dimensional data, in particular linear model selection techniques based on least angle regression and sparse regression. Specifically, the package implements robust least angle regression (Khan, Van Aelst & Zamar, 2007; <doi:10.1198/016214507000000950>), (robust) groupwise least angle regression (Alfons, Croux & Gelper, 2016; <doi:10.1016/j.csda.2015.02.007>), and sparse least trimmed squares regression (Alfons, Croux & Gelper, 2013; <doi:10.1214/12-AOAS575>).

Details

The DESCRIPTION file:

Index of help topics:

AIC.seqModel            Information criteria for a sequence of
                        regression models
TopGear                 Top Gear car data
coef.seqModel           Extract coefficients from a sequence of
                        regression models
coefPlot                Coefficient plot of a sequence of regression
                        models
corHuber                Robust correlation based on winsorization
critPlot                Optimality criterion plot of a sequence of
                        regression models
diagnosticPlot          Diagnostic plots for a sequence of regression
                        models
fitted.seqModel         Extract fitted values from a sequence of
                        regression models
getScale                Extract the residual scale of a robust
                        regression model
grplars                 (Robust) groupwise least angle regression
lambda0                 Penalty parameter for sparse LTS regression
nci60                   NCI-60 cancer cell panel
partialOrder            Find partial order of smallest or largest
                        values
perry.seqModel          Resampling-based prediction error for a
                        sequential regression model
plot.seqModel           Plot a sequence of regression models
predict.seqModel        Predict from a sequence of regression models
residuals.seqModel      Extract residuals from a sequence of regression
                        models
rlars                   Robust least angle regression
robustHD-package        Robust Methods for High-Dimensional Data
rstandard.seqModel      Extract standardized residuals from a sequence
                        of regression models
setupCoefPlot           Set up a coefficient plot of a sequence of
                        regression models
setupCritPlot           Set up an optimality criterion plot of a
                        sequence of regression models
setupDiagnosticPlot     Set up a diagnostic plot for a sequence of
                        regression models
sparseLTS               Sparse least trimmed squares regression
standardize             Data standardization
tsBlocks                Construct predictor blocks for time series
                        models
tslars                  (Robust) least angle regression for time series
                        data
tslarsP                 (Robust) least angle regression for time series
                        data with fixed lag length
weights.sparseLTS       Extract outlier weights from sparse LTS
                        regression models
winsorize               Data cleaning by winsorization

Author(s)

Andreas Alfons [aut, cre] (<https://orcid.org/0000-0002-2513-3788>), Dirk Eddelbuettel [ctb]

Maintainer: Andreas Alfons <alfons@ese.eur.nl>

References

Alfons (2021) robustHD: An R package for robust regression with high-dimensional data. Journal of Open Source Software, 6(67), 3786. doi:10.21105/joss.03786.

See Also

Useful links:

• https://github.com/aalfons/robustHD

• Report bugs at https://github.com/aalfons/robustHD/issues

Information criteria for a sequence of regression models

Description

Compute the Akaike or Bayes information criterion for for a sequence of regression models, such as submodels along a robust least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

## S3 method for class 'seqModel'
AIC(object, ..., k = 2)

## S3 method for class 'sparseLTS'
AIC(object, ..., fit = c("reweighted", "raw", "both"), k = 2)

## S3 method for class 'seqModel'
BIC(object, ...)

## S3 method for class 'sparseLTS'
BIC(object, ...)

Arguments

Details

The information criteria are computed as n (\log(2 \pi) + 1 + \log(\hat{\sigma}^2)) + df k, where n denotes the number of observations, \hat{\sigma} is the robust residual scale estimate, df is the number of nonzero coefficient estimates, and k is penalty per parameter. The usual definition of the AIC uses k = 2, whereas the BIC uses k = \log(n). Consequently, the former is used as the default penalty of the AIC method, whereas the BIC method calls the AIC method with the latter penalty.

Value

A numeric vector or matrix giving the information criteria for the requested model fits.

Note

Computing information criteria for several objects supplied via the ... argument (as for the default methods of AIC and BIC) is currently not implemented.

Author(s)

Andreas Alfons

References

Akaike, H. (1970) Statistical predictor identification. Annals of the Institute of Statistical Mathematics, 22(2), 203–217.

Schwarz, G. (1978) Estimating the dimension of a model. The Annals of Statistics, 6(2), 461–464.

See Also

AIC, rlars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# compute AIC and BIC
AIC(fitRlars)
BIC(fitRlars)


## fit sparse LTS model over a grid of values for lambda
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# compute AIC and BIC
AIC(fitSparseLTS)
BIC(fitSparseLTS)

Extract coefficients from a sequence of regression models

Description

Extract coefficients from a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

## S3 method for class 'seqModel'
coef(object, s = NA, zeros = TRUE, drop = !is.null(s), ...)

## S3 method for class 'tslars'
coef(object, p, ...)

## S3 method for class 'perrySeqModel'
coef(object, ...)

## S3 method for class 'sparseLTS'
coef(
  object,
  s = NA,
  fit = c("reweighted", "raw", "both"),
  zeros = TRUE,
  drop = !is.null(s),
  ...
)

Arguments

Value

A numeric vector or matrix containing the requested regression coefficients.

Author(s)

Andreas Alfons

See Also

coef, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract coefficients
coef(fitRlars, zeros = FALSE)
coef(fitRlars, s = 1:5, zeros = FALSE)


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract coefficients
coef(fitSparseLTS, zeros = FALSE)
coef(fitSparseLTS, fit = "both", zeros = FALSE)
coef(fitSparseLTS, s = NULL, zeros = FALSE)
coef(fitSparseLTS, fit = "both", s = NULL, zeros = FALSE)

Coefficient plot of a sequence of regression models

Description

Produce a plot of the coefficients from a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

coefPlot(object, ...)

## S3 method for class 'seqModel'
coefPlot(object, zeros = FALSE, labels = NULL, ...)

## S3 method for class 'tslars'
coefPlot(object, p, zeros = FALSE, labels = NULL, ...)

## S3 method for class 'sparseLTS'
coefPlot(
  object,
  fit = c("reweighted", "raw", "both"),
  zeros = FALSE,
  labels = NULL,
  ...
)

## S3 method for class 'setupCoefPlot'
coefPlot(
  object,
  abscissa = NULL,
  size = c(0.5, 2, 4),
  offset = 1,
  facets = object$facets,
  ...
)

Arguments

Value

An object of class "ggplot" (see ggplot).

Author(s)

Andreas Alfons

See Also

ggplot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# create plot
coefPlot(fitRlars)


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# create plot
coefPlot(fitSparseLTS)
coefPlot(fitSparseLTS, fit = "both")

Robust correlation based on winsorization

Description

Compute a robust correlation estimate based on winsorization, i.e., by shrinking outlying observations to the border of the main part of the data.

Usage

corHuber(
  x,
  y,
  type = c("bivariate", "adjusted", "univariate"),
  standardized = FALSE,
  centerFun = median,
  scaleFun = mad,
  const = 2,
  prob = 0.95,
  tol = .Machine$double.eps^0.5,
  ...
)

Arguments

Details

The borders of the main part of the data are defined on the scale of the robustly standardized data. In univariate winsorization, the borders for each variable are given by +/-const, thus a symmetric distribution is assumed. In adjusted univariate winsorization, the borders for the two diagonally opposing quadrants containing the minority of the data are shrunken by a factor that depends on the ratio between the number of observations in the major and minor quadrants. It is thus possible to better account for the bivariate structure of the data while maintaining fast computation. In bivariate winsorization, a bivariate normal distribution is assumed and the data are shrunken towards the boundary of a tolerance ellipse with coverage probability prob. The boundary of this ellipse is thereby given by all points that have a squared Mahalanobis distance equal to the quantile of the \chi^{2} distribution given by prob. Furthermore, the initial correlation matrix required for the Mahalanobis distances is computed based on adjusted univariate winsorization.

Value

The robust correlation estimate.

Author(s)

Andreas Alfons, based on code by Jafar A. Khan, Stefan Van Aelst and Ruben H. Zamar

References

Khan, J.A., Van Aelst, S. and Zamar, R.H. (2007) Robust linear model selection based on least angle regression. Journal of the American Statistical Association, 102(480), 1289–1299. doi:10.1198/016214507000000950

See Also

winsorize

Examples

## generate data
library("mvtnorm")
set.seed(1234)  # for reproducibility
Sigma <- matrix(c(1, 0.6, 0.6, 1), 2, 2)
xy <- rmvnorm(100, sigma=Sigma)
x <- xy[, 1]
y <- xy[, 2]

## introduce outlier
x[1] <- x[1] * 10
y[1] <- y[1] * (-5)

## compute correlation
cor(x, y)
corHuber(x, y)

Optimality criterion plot of a sequence of regression models

Description

Produce a plot of the values of the optimality criterion for a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

critPlot(object, ...)

## S3 method for class 'seqModel'
critPlot(object, which = c("line", "dot"), ...)

## S3 method for class 'tslars'
critPlot(object, p, which = c("line", "dot"), ...)

## S3 method for class 'sparseLTS'
critPlot(
  object,
  which = c("line", "dot"),
  fit = c("reweighted", "raw", "both"),
  ...
)

## S3 method for class 'perrySeqModel'
critPlot(object, which = c("line", "dot", "box", "density"), ...)

## S3 method for class 'perrySparseLTS'
critPlot(
  object,
  which = c("line", "dot", "box", "density"),
  fit = c("reweighted", "raw", "both"),
  ...
)

## S3 method for class 'setupCritPlot'
critPlot(object, ...)

Arguments

Value

An object of class "ggplot" (see ggplot).

Note

Function perryPlot is used to create the plot, even if the optimality criterion does not correspond to resampling-based p rediction error estimation. While this can be seen as as a misuse of its functionality, it ensures that all optimality criteria are displayed in the same way.

Author(s)

Andreas Alfons

See Also

ggplot, perryPlot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# create plot
critPlot(fitRlars)


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# create plot
critPlot(fitSparseLTS)
critPlot(fitSparseLTS, fit = "both")

Diagnostic plots for a sequence of regression models

Description

Produce diagnostic plots for a sequence of regression models, such as submodels along a robust least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter. Four plots are currently implemented.

Usage

diagnosticPlot(object, ...)

## S3 method for class 'seqModel'
diagnosticPlot(object, s = NA, covArgs = list(), ...)

## S3 method for class 'perrySeqModel'
diagnosticPlot(object, covArgs = list(), ...)

## S3 method for class 'tslars'
diagnosticPlot(object, p, s = NA, covArgs = list(), ...)

## S3 method for class 'sparseLTS'
diagnosticPlot(
  object,
  s = NA,
  fit = c("reweighted", "raw", "both"),
  covArgs = list(),
  ...
)

## S3 method for class 'perrySparseLTS'
diagnosticPlot(
  object,
  fit = c("reweighted", "raw", "both"),
  covArgs = list(),
  ...
)

## S3 method for class 'setupDiagnosticPlot'
diagnosticPlot(
  object,
  which = c("all", "rqq", "rindex", "rfit", "rdiag"),
  ask = (which == "all"),
  facets = object$facets,
  size = c(2, 4),
  id.n = NULL,
  ...
)

Arguments

Details

In the normal Q-Q plot of the standardized residuals, a reference line is drawn through the first and third quartile. The id.n observations with the largest distances from that line are identified by a label (the observation number). The default for id.n is the number of regression outliers, i.e., the number of observations whose residuals are too large (cf. weights).

In the plots of the standardized residuals versus their index or the fitted values, horizontal reference lines are drawn at 0 and +/-2.5. The id.n observations with the largest absolute values of the standardized residuals are identified by a label (the observation number). The default for id.n is the number of regression outliers, i.e., the number of observations whose absolute residuals are too large (cf. weights).

For the regression diagnostic plot, the robust Mahalanobis distances of the predictor variables are computed via the minimum covariance determinant (MCD) estimator based on only those predictors with non-zero coefficients (see covMcd). Horizontal reference lines are drawn at +/-2.5 and a vertical reference line is drawn at the upper 97.5% quantile of the \chi^{2} distribution with p degrees of freedom, where p denotes the number of predictors with non-zero coefficients. The id.n observations with the largest absolute values of the standardized residuals and/or largest robust Mahalanobis distances are identified by a label (the observation number). The default for id.n is the number of all outliers: regression outliers (i.e., observations whose absolute residuals are too large, cf. weights) and leverage points (i.e., observations with robust Mahalanobis distance larger than the 97.5% quantile of the \chi^{2} distribution with p degrees of freedom).

Note that the argument alpha for controlling the subset size behaves differently for sparseLTS than for covMcd. For sparseLTS, the subset size h is determined by the fraction alpha of the number of observations n. For covMcd, on the other hand, the subset size also depends on the number of variables p (see h.alpha.n). However, the "sparseLTS" and "perrySparseLTS" methods attempt to compute the MCD using the same subset size that is used to compute the sparse least trimmed squares regressions. This may not be possible if the number of selected variables is large compared to the number of observations. In such cases, setupDiagnosticPlot returns NAs for the robust Mahalanobis distances, and the regression diagnostic plot fails.

Value

If only one plot is requested, an object of class "ggplot" (see ggplot), otherwise a list of such objects.

Author(s)

Andreas Alfons

See Also

ggplot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS, plot.lts

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# create plot
diagnosticPlot(fitRlars)


## sparse LTS
# fit model
fitSparseLTS <- sparseLTS(x, y, lambda = 0.05, mode = "fraction")
# create plot
diagnosticPlot(fitSparseLTS)
diagnosticPlot(fitSparseLTS, fit = "both")

Extract fitted values from a sequence of regression models

Description

Extract fitted values from a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

## S3 method for class 'seqModel'
fitted(object, s = NA, drop = !is.null(s), ...)

## S3 method for class 'tslars'
fitted(object, p, ...)

## S3 method for class 'perrySeqModel'
fitted(object, ...)

## S3 method for class 'sparseLTS'
fitted(
  object,
  s = NA,
  fit = c("reweighted", "raw", "both"),
  drop = !is.null(s),
  ...
)

Arguments

Value

A numeric vector or matrix containing the requested fitted values.

Author(s)

Andreas Alfons

See Also

fitted, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract fitted values
fitted(fitRlars)
head(fitted(fitRlars, s = 1:5))


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract fitted values
fitted(fitSparseLTS)
head(fitted(fitSparseLTS, fit = "both"))
head(fitted(fitSparseLTS, s = NULL))
head(fitted(fitSparseLTS, fit = "both", s = NULL))

Extract the residual scale of a robust regression model

Description

Extract the robust scale estimate of the residuals from a robust regression model.

Usage

getScale(x, ...)

## S3 method for class 'seqModel'
getScale(x, s = NA, ...)

## S3 method for class 'sparseLTS'
getScale(x, s = NA, fit = c("reweighted", "raw", "both"), ...)

Arguments

Details

Methods are implemented for models of class "lmrob" (see lmrob), "lts" (see ltsReg), "rlm" (see rlm), "seqModel" (see rlars) and "sparseLTS" (see sparseLTS). The default method computes the MAD of the residuals.

Value

A numeric vector or matrix giving the robust residual scale estimates for the requested model fits.

Author(s)

Andreas Alfons

See Also

AIC, lmrob, ltsReg, rlm, rlars, sparseLTS

Examples

data("coleman")
fit <- lmrob(Y ~ ., data=coleman)
getScale(fit)

(Robust) groupwise least angle regression

Description

(Robustly) sequence groups of candidate predictors according to their predictive content and find the optimal model along the sequence.

Usage

grplars(x, ...)

## S3 method for class 'formula'
grplars(formula, data, ...)

## S3 method for class 'data.frame'
grplars(x, y, ...)

## Default S3 method:
grplars(
  x,
  y,
  sMax = NA,
  assign,
  fit = TRUE,
  s = c(0, sMax),
  crit = c("BIC", "PE"),
  splits = foldControl(),
  cost = rmspe,
  costArgs = list(),
  selectBest = c("hastie", "min"),
  seFactor = 1,
  ncores = 1,
  cl = NULL,
  seed = NULL,
  model = TRUE,
  ...
)

rgrplars(x, ...)

## S3 method for class 'formula'
rgrplars(formula, data, ...)

## S3 method for class 'data.frame'
rgrplars(x, y, ...)

## Default S3 method:
rgrplars(
  x,
  y,
  sMax = NA,
  assign,
  centerFun = median,
  scaleFun = mad,
  regFun = lmrob,
  regArgs = list(),
  combine = c("min", "euclidean", "mahalanobis"),
  const = 2,
  prob = 0.95,
  fit = TRUE,
  s = c(0, sMax),
  crit = c("BIC", "PE"),
  splits = foldControl(),
  cost = rtmspe,
  costArgs = list(),
  selectBest = c("hastie", "min"),
  seFactor = 1,
  ncores = 1,
  cl = NULL,
  seed = NULL,
  model = TRUE,
  ...
)

Arguments

Value

If fit is FALSE, an integer vector containing the indices of the sequenced predictor groups.

Else if crit is "PE", an object of class "perrySeqModel" (inheriting from classes "perryTuning", see perryTuning). It contains information on the prediction error criterion, and includes the final model as component finalModel.

Otherwise an object of class "grplars" (inheriting from class "seqModel") with the following components:

active

an integer vector containing the sequence of predictor groups.

s

an integer vector containing the steps for which submodels along the sequence have been computed.

coefficients

a numeric matrix in which each column contains the regression coefficients of the corresponding submodel along the sequence.

fitted.values

a numeric matrix in which each column contains the fitted values of the corresponding submodel along the sequence.

residuals

a numeric matrix in which each column contains the residuals of the corresponding submodel along the sequence.

df

an integer vector containing the degrees of freedom of the submodels along the sequence (i.e., the number of estimated coefficients).

robust

a logical indicating whether a robust fit was computed.

scale

a numeric vector giving the robust residual scale estimates for the submodels along the sequence (only returned for a robust fit).

crit

an object of class "bicSelect" containing the BIC values and indicating the final model (only returned if argument crit is "BIC" and argument s indicates more than one step along the sequence).

muX

a numeric vector containing the center estimates of the predictor variables.

sigmaX

a numeric vector containing the scale estimates of the predictor variables.

muY

numeric; the center estimate of the response.

sigmaY

numeric; the scale estimate of the response.

x

the matrix of candidate predictors (if model is TRUE).

y

the response (if model is TRUE).

assign

an integer vector giving the predictor group to which each predictor variable belongs.

w

a numeric vector giving the data cleaning weights (only returned for a robust fit).

call

the matched function call.

Author(s)

Andreas Alfons

References

Alfons, A., Croux, C. and Gelper, S. (2016) Robust groupwise least angle regression. Computational Statistics & Data Analysis, 93, 421–435. doi:10.1016/j.csda.2015.02.007

See Also

coef, fitted, plot, predict, residuals, rstandard, lmrob

Examples

data("TopGear")
# keep complete observations
keep <- complete.cases(TopGear)
TopGear <- TopGear[keep, ]
# remove information on car model
info <- TopGear[, 1:3]
TopGear <- TopGear[, -(1:3)]
# log-transform price
TopGear$Price <- log(TopGear$Price)

# robust groupwise LARS
rgrplars(MPG ~ ., data = TopGear, sMax = 15)

Penalty parameter for sparse LTS regression

Description

Use bivariate winsorization to estimate the smallest value of the penalty parameter for sparse least trimmed squares regression that sets all coefficients to zero.

Usage

lambda0(
  x,
  y,
  normalize = TRUE,
  intercept = TRUE,
  const = 2,
  prob = 0.95,
  tol = .Machine$double.eps^0.5,
  eps = .Machine$double.eps,
  ...
)

Arguments

Details

The estimation procedure is inspired by the calculation of the respective penalty parameter in the first step of the classical LARS algorithm. First, two-dimensional data blocks consisting of the response with each predictor variable are cleaned via bivariate winsorization. For each block, the following computations are then performed. If an intercept is included in the model, the cleaned response is centered and the corresponding cleaned predictor is centered and scaled to have unit norm. Otherwise the variables are not centered, but the predictor is scaled to have unit norm. Finally, the dot product of the response and the corresponding predictor is computed. The largest absolute value of those dot products, rescaled to fit the parametrization of the sparse LTS definition, yields the estimate of the smallest penalty parameter that sets all coefficients to zero.

Value

A robust estimate of the smallest value of the penalty parameter for sparse LTS regression that sets all coefficients to zero.

Author(s)

Andreas Alfons

References

Alfons, A., Croux, C. and Gelper, S. (2013) Sparse least trimmed squares regression for analyzing high-dimensional large data sets. The Annals of Applied Statistics, 7(1), 226–248. doi:10.1214/12-AOAS575

Efron, B., Hastie, T., Johnstone, I. and Tibshirani, R. (2004) Least angle regression. The Annals of Statistics, 32(2), 407–499. doi:10.1214/009053604000000067

Khan, J.A., Van Aelst, S. and Zamar, R.H. (2007) Robust linear model selection based on least angle regression. Journal of the American Statistical Association, 102(480), 1289–1299. doi:10.1198/016214507000000950

See Also

sparseLTS, winsorize

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points

## estimate smallest value of the penalty parameter 
## that sets all coefficients to 0
lambda0(x, y)

NCI-60 cancer cell panel

Description

The data set is a pre-processed version of the NCI-60 cancer cell panel as used in Alfons, Croux & Gelper (2013). One observation was removed since all values in the gene expression data were missing.

Usage

data("nci60")

Format

Protein and gene expression data on 59 observations are stored in two separate matrices:

protein

a matrix containing protein expressions based on antibodies (162 columns), acquired via reverse-phase protein lysate arrays and log2 transformed.

gene

a matrix containing gene expression data (22283 columns), obtained with an Affymetrix HG-U133A chip and normalized with the GCRMA method.

In addition, meta information on the proteins, genes, and cancer cell lines is stored in three separate data frames:

proteinInfo

a data frame with 162 rows and the following 4 columns: Experiment (the name of the experiment for collecting the data), Probe (the name of the individual probe), Symbol (the symbol of the protein in Human Genome Organisation (HUGO) nomenclature), and ID (identifier of the protein per the National Center for Biotechnology Information (NCBI) Entrez database). The rows of this data frame correspond to the columns of the matrix protein.

geneInfo

a data frame with 22283 rows and the following 4 columns: Experiment (the name of the experiment for collecting the data), Probe (the name of the individual probe), Symbol (the symbol of the gene in Human Genome Organisation (HUGO) nomenclature), and ID (identifier of the gene per the National Center for Biotechnology Information (NCBI) Entrez database). The rows of this data frame correspond to the columns of the matrix gene.

cellLineInfo

a data frame with 59 rows and 15 columns containing various information on the cancer cell lines, such as tissue of origin and histology, or age and sex of the patient. The rows of this data frame correspond to the rows of the matrices protein and gene.

Source

The original data were downloaded from https://discover.nci.nih.gov/cellminer/ on 2012-01-27.

The exact version of the data used in Alfons, Croux & Gelper (2013) can be obtained from https://github.com/aalfons/nci60, together with the script for pre-processing. The data in package robustHD differ in that the matrix of the gene expressions is called gene and that they include the three data frames with meta information on proteins, genes, and cancer cell lines.

References

Reinhold, W.C., Sunshine, M., Liu, H., Varma, S., Kohn, K.W., Morris, J., Doroshow, J. and Pommier, Y. (2012) CellMiner: A Web-Based Suite of Genomic and Pharmacologic Tools to Explore Transcript and Drug Patterns in the NCI-60 Cell Line Set. Cancer Research, 72(14), 3499–3511. doi:10.1158/0008-5472.CAN-12-1370

Alfons, A., Croux, C. and Gelper, S. (2013) Sparse least trimmed squares regression for analyzing high-dimensional large data sets. The Annals of Applied Statistics, 7(1), 226–248. doi:10.1214/12-AOAS575

Examples

# load data
data("nci60")
# define response variable
y <- protein[, 92]
# screen most correlated predictor variables
correlations <- apply(gene, 2, corHuber, y)
keep <- partialOrder(abs(correlations), 100, decreasing = TRUE)
X <- gene[, keep]

Find partial order of smallest or largest values

Description

Obtain a partial permutation that rearranges the smallest (largest) elements of a vector into ascending (descending) order.

Usage

partialOrder(x, h, decreasing = FALSE)

Arguments

Value

An integer vector containing the indices of the h smallest or largest elements of x.

Author(s)

Andreas Alfons

See Also

order

Examples

# randomly draw some values
values <- rnorm(10)
values

# find largest observations
partialOrder(values, 5, decreasing = TRUE)

Resampling-based prediction error for a sequential regression model

Description

Estimate the prediction error of a previously fit sequential regression model such as a robust least angle regression model or a sparse least trimmed squares regression model.

Usage

## S3 method for class 'seqModel'
perry(
  object,
  splits = foldControl(),
  cost,
  ncores = 1,
  cl = NULL,
  seed = NULL,
  ...
)

## S3 method for class 'sparseLTS'
perry(
  object,
  splits = foldControl(),
  fit = c("reweighted", "raw", "both"),
  cost = rtmspe,
  ncores = 1,
  cl = NULL,
  seed = NULL,
  ...
)

Arguments

Details

The prediction error can be estimated via (repeated) K-fold cross-validation, (repeated) random splitting (also known as random subsampling or Monte Carlo cross-validation), or the bootstrap. In each iteration, the optimal model is thereby selected from the training data and used to make predictions for the test data.

Value

An object of class "perry" with the following components:

pe

a numeric vector containing the estimated prediction errors for the requested model fits. In case of more than one replication, this gives the average value over all replications.

se

a numeric vector containing the estimated standard errors of the prediction loss for the requested model fits.

reps

a numeric matrix in which each column contains the estimated prediction errors from all replications for the requested model fits. This is only returned in case of more than one replication.

splits

an object giving the data splits used to estimate the prediction error.

y

the response.

yHat

a list containing the predicted values from all replications.

call

the matched function call.

Author(s)

Andreas Alfons

See Also

rlars, sparseLTS, predict, perry, cost

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## fit and evaluate robust LARS model
fitRlars <- rlars(x, y, sMax = 10)
perry(fitRlars)

## fit and evaluate sparse LTS model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
perry(fitSparseLTS)

Plot a sequence of regression models

Description

Produce a plot of the coefficients, the values of the optimality criterion, or diagnostic plots for a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

## S3 method for class 'seqModel'
plot(x, method = c("coefficients", "crit", "diagnostic"), ...)

## S3 method for class 'perrySeqModel'
plot(x, method = c("crit", "diagnostic"), ...)

## S3 method for class 'tslars'
plot(x, p, method = c("coefficients", "crit", "diagnostic"), ...)

## S3 method for class 'sparseLTS'
plot(x, method = c("coefficients", "crit", "diagnostic"), ...)

## S3 method for class 'perrySparseLTS'
plot(x, method = c("crit", "diagnostic"), ...)

Arguments

Value

An object of class "ggplot" (see ggplot).

Author(s)

Andreas Alfons

See Also

coefPlot, critPlot, diagnosticPlot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# create plots
plot(fitRlars, method = "coef")
plot(fitRlars, method = "crit")
plot(fitRlars, method = "diagnostic")


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# create plots
plot(fitSparseLTS, method = "coef")
plot(fitSparseLTS, method = "crit")
plot(fitSparseLTS, method = "diagnostic")

Predict from a sequence of regression models

Description

Make predictions from a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter. For autoregressive time series models with exogenous inputs, h-step ahead forecasts are performed.

Usage

## S3 method for class 'seqModel'
predict(object, newdata, s = NA, ...)

## S3 method for class 'tslarsP'
predict(object, newdata, ...)

## S3 method for class 'tslars'
predict(object, newdata, p, ...)

## S3 method for class 'sparseLTS'
predict(object, newdata, s = NA, fit = c("reweighted", "raw", "both"), ...)

Arguments

Details

The newdata argument defaults to the matrix of predictors used to fit the model such that the fitted values are computed.

For autoregressive time series models with exogenous inputs with forecast horizon h, the h most recent observations of the predictors are omitted from fitting the model since there are no corresponding values for the response. Hence the newdata argument for predict.tslarsP and predict.tslars defaults to those h observations of the predictors.

Value

A numeric vector or matrix containing the requested predicted values.

Author(s)

Andreas Alfons

See Also

predict, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# compute fitted values via predict method
predict(fitRlars)
head(predict(fitRlars, s = 1:5))


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# compute fitted values via predict method
predict(fitSparseLTS)
head(predict(fitSparseLTS, fit = "both"))
head(predict(fitSparseLTS, s = NULL))
head(predict(fitSparseLTS, fit = "both", s = NULL))

Extract residuals from a sequence of regression models

Description

Extract residuals from a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

## S3 method for class 'seqModel'
residuals(object, s = NA, standardized = FALSE, drop = !is.null(s), ...)

## S3 method for class 'tslars'
residuals(object, p, ...)

## S3 method for class 'perrySeqModel'
residuals(object, ...)

## S3 method for class 'sparseLTS'
residuals(
  object,
  s = NA,
  fit = c("reweighted", "raw", "both"),
  standardized = FALSE,
  drop = !is.null(s),
  ...
)

Arguments

Value

A numeric vector or matrix containing the requested residuals.

Author(s)

Andreas Alfons

See Also

residuals, rstandard

rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract residuals
residuals(fitRlars)
head(residuals(fitRlars, s = 1:5))


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract residuals
residuals(fitSparseLTS)
head(residuals(fitSparseLTS, fit = "both"))
head(residuals(fitSparseLTS, s = NULL))
head(residuals(fitSparseLTS, fit = "both", s = NULL))

Robust least angle regression

Description

Robustly sequence candidate predictors according to their predictive content and find the optimal model along the sequence.

Usage

rlars(x, ...)

## S3 method for class 'formula'
rlars(formula, data, ...)

## Default S3 method:
rlars(
  x,
  y,
  sMax = NA,
  centerFun = median,
  scaleFun = mad,
  winsorize = FALSE,
  const = 2,
  prob = 0.95,
  fit = TRUE,
  s = c(0, sMax),
  regFun = lmrob,
  regArgs = list(),
  crit = c("BIC", "PE"),
  splits = foldControl(),
  cost = rtmspe,
  costArgs = list(),
  selectBest = c("hastie", "min"),
  seFactor = 1,
  ncores = 1,
  cl = NULL,
  seed = NULL,
  model = TRUE,
  tol = .Machine$double.eps^0.5,
  ...
)

Arguments

Value

If fit is FALSE, an integer vector containing the indices of the sequenced predictors.

Else if crit is "PE", an object of class "perrySeqModel" (inheriting from class "perrySelect", see perrySelect). It contains information on the prediction error criterion, and includes the final model as component finalModel.

Otherwise an object of class "rlars" (inheriting from class "seqModel") with the following components:

active

an integer vector containing the indices of the sequenced predictors.

s

an integer vector containing the steps for which submodels along the sequence have been computed.

coefficients

a numeric matrix in which each column contains the regression coefficients of the corresponding submodel along the sequence.

fitted.values

a numeric matrix in which each column contains the fitted values of the corresponding submodel along the sequence.

residuals

a numeric matrix in which each column contains the residuals of the corresponding submodel along the sequence.

df

an integer vector containing the degrees of freedom of the submodels along the sequence (i.e., the number of estimated coefficients).

robust

a logical indicating whether a robust fit was computed (TRUE for "rlars" models).

scale

a numeric vector giving the robust residual scale estimates for the submodels along the sequence.

crit

an object of class "bicSelect" containing the BIC values and indicating the final model (only returned if argument crit is "BIC" and argument s indicates more than one step along the sequence).

muX

a numeric vector containing the center estimates of the predictors.

sigmaX

a numeric vector containing the scale estimates of the predictors.

muY

numeric; the center estimate of the response.

sigmaY

numeric; the scale estimate of the response.

x

the matrix of candidate predictors (if model is TRUE).

y

the response (if model is TRUE).

w

a numeric vector giving the data cleaning weights (if winsorize is TRUE).

call

the matched function call.

Author(s)

Andreas Alfons, based on code by Jafar A. Khan, Stefan Van Aelst and Ruben H. Zamar

References

Khan, J.A., Van Aelst, S. and Zamar, R.H. (2007) Robust linear model selection based on least angle regression. Journal of the American Statistical Association, 102(480), 1289–1299. doi:10.1198/016214507000000950

See Also

coef, fitted, plot, predict, residuals, rstandard, lmrob

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points

## fit robust LARS model
rlars(x, y, sMax = 10)

Extract standardized residuals from a sequence of regression models

Description

Extract standardized residuals from a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

## S3 method for class 'seqModel'
rstandard(model, s = NA, drop = !is.null(s), ...)

## S3 method for class 'tslars'
rstandard(model, p, ...)

## S3 method for class 'perrySeqModel'
rstandard(model, ...)

## S3 method for class 'sparseLTS'
rstandard(
  model,
  s = NA,
  fit = c("reweighted", "raw", "both"),
  drop = !is.null(s),
  ...
)

Arguments

Value

A numeric vector or matrix containing the requested standardized residuals.

Author(s)

Andreas Alfons

See Also

rstandard, residuals

rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract standardized residuals
rstandard(fitRlars)
head(rstandard(fitRlars, s = 1:5))


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract standardized residuals
rstandard(fitSparseLTS)
head(rstandard(fitSparseLTS, fit = "both"))
head(rstandard(fitSparseLTS, s = NULL))
head(rstandard(fitSparseLTS, fit = "both", s = NULL))

Set up a coefficient plot of a sequence of regression models

Description

Extract the relevent information for a plot of the coefficients for a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

setupCoefPlot(object, ...)

## S3 method for class 'seqModel'
setupCoefPlot(object, zeros = FALSE, labels = NULL, ...)

## S3 method for class 'tslars'
setupCoefPlot(object, p, ...)

## S3 method for class 'sparseLTS'
setupCoefPlot(
  object,
  fit = c("reweighted", "raw", "both"),
  zeros = FALSE,
  labels = NULL,
  ...
)

Arguments

Value

An object inheriting from class "setupCoefPlot" with the following components:

coefficients

a data frame containing the following columns:

fit

the model fit for which the coefficient is computed (only returned if both the reweighted and raw fit are requested in the "sparseLTS" method).

lambda

the value of the penalty parameter for which the coefficient is computed (only returned for the "sparseLTS" method).

step

the step along the sequence for which the coefficient is computed.

df

the degrees of freedom of the submodel along the sequence for which the coefficient is computed.

coefficient

the value of the coefficient.

variable

a character string specifying to which variable the coefficient belongs.

abscissa

a character string specifying available options for what to plot on the x-axis

lambda

a numeric vector giving the values of the penalty parameter. (only returned for the "sparseLTS" method).

step

an integer vector containing the steps for which submodels along the sequence have been computed.

df

an integer vector containing the degrees of freedom of the submodels along the sequence (i.e., the number of estimated coefficients; only returned for the "seqModel" method).

includeLabels

a logical indicating whether information on labels for the variables should be included in the plot.

labels

a data frame containing the following columns (not returned if information on labels is suppressed):

fit

the model fit for which the coefficient is computed (only returned if both the reweighted and raw fit are requested in the "sparseLTS" method).

lambda

the smallest value of the penalty parameter (only returned for the "sparseLTS" method).

step

the last step along the sequence.

df

the degrees of freedom of the last submodel along the sequence.

coefficient

the value of the coefficient.

label

the label of the corresponding variable to be displayed in the plot.

facets

default faceting formula for the plots (only returned if both estimators are requested in the "sparseLTS" method).

Author(s)

Andreas Alfons

See Also

coefPlot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract information for plotting
setup <- setupCoefPlot(fitRlars)
coefPlot(setup)


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract information for plotting
setup1 <- setupCoefPlot(fitSparseLTS)
coefPlot(setup1)
setup2 <- setupCoefPlot(fitSparseLTS, fit = "both")
coefPlot(setup2)

Set up an optimality criterion plot of a sequence of regression models

Description

Extract the relevent information for a plot of the values of the optimality criterion for a sequence of regression models, such as submodels along a robust or groupwise least angle regression sequence, or sparse least trimmed squares regression models for a grid of values for the penalty parameter.

Usage

setupCritPlot(object, ...)

## S3 method for class 'seqModel'
setupCritPlot(object, which = c("line", "dot"), ...)

## S3 method for class 'tslars'
setupCritPlot(object, p, ...)

## S3 method for class 'sparseLTS'
setupCritPlot(
  object,
  which = c("line", "dot"),
  fit = c("reweighted", "raw", "both"),
  ...
)

## S3 method for class 'perrySeqModel'
setupCritPlot(object, which = c("line", "dot", "box", "density"), ...)

## S3 method for class 'perrySparseLTS'
setupCritPlot(
  object,
  which = c("line", "dot", "box", "density"),
  fit = c("reweighted", "raw", "both"),
  ...
)

Arguments

Value

An object inheriting from class "setupCritPlot" with the following components:

data

a data frame containing the following columns:

Fit

a vector or factor containing the identifiers of the models along the sequence.

Name

a factor specifying the estimator for which the optimality criterion was estimated ("reweighted" or "raw"; only returned if both are requested in the "sparseLTS" or "perrySparseLTS" methods).

PE

the estimated prediction errors (only returned if applicable).

BIC

the estimated values of the Bayesian information criterion (only returned if applicable).

Lower

the lower end points of the error bars (only returned if possible to compute).

Upper

the upper end points of the error bars (only returned if possible to compute).

which

a character string specifying the type of plot.

grouped

a logical indicating whether density plots should be grouped due to multiple model fits along the sequence (only returned in case of density plots for the "perrySeqModel" and "perrySparseLTS" methods).

includeSE

a logical indicating whether error bars based on standard errors are available (only returned in case of line plots or dot plots).

mapping

default aesthetic mapping for the plots.

facets

default faceting formula for the plots (only returned if both estimators are requested in the "sparseLTS" or "perrySparseLTS" methods).

tuning

a data frame containing the grid of tuning parameter values for which the optimality criterion was estimated (only returned for the "sparseLTS" and "perrySparseLTS" methods).

Author(s)

Andreas Alfons

See Also

critPlot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract information for plotting
setup <- setupCritPlot(fitRlars)
critPlot(setup)


## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitSparseLTS <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract information for plotting
setup1 <- setupCritPlot(fitSparseLTS)
critPlot(setup1)
setup2 <- setupCritPlot(fitSparseLTS, fit = "both")
critPlot(setup2)

Set up a diagnostic plot for a sequence of regression models

Description

Extract the fitted values and residuals of a sequence of regression models (such as robust least angle regression models or sparse least trimmed squares regression models) and other useful information for diagnostic plots.

Usage

setupDiagnosticPlot(object, ...)

## S3 method for class 'seqModel'
setupDiagnosticPlot(object, s = NA, covArgs = list(...), ...)

## S3 method for class 'perrySeqModel'
setupDiagnosticPlot(object, ...)

## S3 method for class 'tslars'
setupDiagnosticPlot(object, p, ...)

## S3 method for class 'sparseLTS'
setupDiagnosticPlot(
  object,
  s = NA,
  fit = c("reweighted", "raw", "both"),
  covArgs = list(...),
  ...
)

## S3 method for class 'perrySparseLTS'
setupDiagnosticPlot(object, ...)

Arguments

Details

Note that the argument alpha for controlling the subset size behaves differently for sparseLTS than for covMcd. For sparseLTS, the subset size h is determined by the fraction alpha of the number of observations n. For covMcd, on the other hand, the subset size also depends on the number of variables p (see h.alpha.n). However, the "sparseLTS" and "perrySparseLTS" methods attempt to compute the MCD using the same subset size that is used to compute the sparse least trimmed squares regressions. This may not be possible if the number of selected variables is large compared to the number of observations, in which case a warning is given and NAs are returned for the robust Mahalanobis distances.

Value

An object of class "setupDiagnosticPlot" with the following components:

data

a data frame containing the columns listed below.

step

the steps (for the "seqModel" method) or indices (for the "sparseLTS" method) of the models (only returned if more than one model is requested).

fit

the model fits (only returned if both the reweighted and raw fit are requested in the "sparseLTS" method).

index

the indices of the observations.

fitted

the fitted values.

residual

the standardized residuals.

theoretical

the corresponding theoretical quantiles from the standard normal distribution.

qqd

the absolute distances from a reference line through the first and third sample and theoretical quartiles.

rd

the robust Mahalanobis distances computed via the minimum covariance determinant (MCD) estimator (see covMcd).

xyd

the pairwise maxima of the absolute values of the standardized residuals and the robust Mahalanobis distances, divided by the respective other outlier detection cutoff point.

weight

the weights indicating regression outliers.

leverage

logicals indicating leverage points (i.e., outliers in the predictor space).

Diagnostics

a factor with levels "Potential outlier" (potential regression outliers) and "Regular observation" (data points following the model).

qqLine

a data frame containing the intercepts and slopes of the respective reference lines to be displayed in residual Q-Q plots.

q

a data frame containing the quantiles of the Mahalanobis distribution used as cutoff points for detecting leverage points.

facets

default faceting formula for the diagnostic plots (only returned where applicable).

Author(s)

Andreas Alfons

See Also

diagnosticPlot, rlars, grplars, rgrplars, tslarsP, rtslarsP, tslars, rtslars, sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points


## robust LARS
# fit model
fitRlars <- rlars(x, y, sMax = 10)
# extract information for plotting
setup <- setupDiagnosticPlot(fitRlars)
diagnosticPlot(setup)


## sparse LTS
# fit model
fitSparseLTS <- sparseLTS(x, y, lambda = 0.05, mode = "fraction")
# extract information for plotting
setup1 <- setupDiagnosticPlot(fitSparseLTS)
diagnosticPlot(setup1)
setup2 <- setupDiagnosticPlot(fitSparseLTS, fit = "both")
diagnosticPlot(setup2)

Sparse least trimmed squares regression

Description

Compute least trimmed squares regression with an L_{1} penalty on the regression coefficients, which allows for sparse model estimates.

Usage

sparseLTS(x, ...)

## S3 method for class 'formula'
sparseLTS(formula, data, ...)

## Default S3 method:
sparseLTS(
  x,
  y,
  lambda,
  mode = c("lambda", "fraction"),
  alpha = 0.75,
  normalize = TRUE,
  intercept = TRUE,
  nsamp = c(500, 10),
  initial = c("sparse", "hyperplane", "random"),
  ncstep = 2,
  use.correction = TRUE,
  tol = .Machine$double.eps^0.5,
  eps = .Machine$double.eps,
  use.Gram,
  crit = c("BIC", "PE"),
  splits = foldControl(),
  cost = rtmspe,
  costArgs = list(),
  selectBest = c("hastie", "min"),
  seFactor = 1,
  ncores = 1,
  cl = NULL,
  seed = NULL,
  model = TRUE,
  ...
)

Arguments

Value

If crit is "PE" and lambda contains more than one value of the penalty parameter, an object of class "perrySparseLTS" (inheriting from class "perryTuning", see perryTuning). It contains information on the prediction error criterion, and includes the final model with the optimal tuning paramter as component finalModel.

Otherwise an object of class "sparseLTS" with the following components:

lambda

a numeric vector giving the values of the penalty parameter.

best

an integer vector or matrix containing the respective best subsets of h observations found and used for computing the raw estimates.

objective

a numeric vector giving the respective values of the sparse LTS objective function, i.e., the L_{1} penalized sums of the h smallest squared residuals from the raw fits.

coefficients

a numeric vector or matrix containing the respective coefficient estimates from the reweighted fits.

fitted.values

a numeric vector or matrix containing the respective fitted values of the response from the reweighted fits.

residuals

a numeric vector or matrix containing the respective residuals from the reweighted fits.

center

a numeric vector giving the robust center estimates of the corresponding reweighted residuals.

scale

a numeric vector giving the robust scale estimates of the corresponding reweighted residuals.

cnp2

a numeric vector giving the respective consistency factors applied to the scale estimates of the reweighted residuals.

wt

an integer vector or matrix containing binary weights that indicate outliers from the respective reweighted fits, i.e., the weights are 1 for observations with reasonably small reweighted residuals and 0 for observations with large reweighted residuals.

df

an integer vector giving the respective degrees of freedom of the obtained reweighted model fits, i.e., the number of nonzero coefficient estimates.

intercept

a logical indicating whether the model includes a constant term.

alpha

a numeric value giving the percentage of the residuals for which the L_{1} penalized sum of squares was minimized.

quan

the number h of observations used to compute the raw estimates.

raw.coefficients

a numeric vector or matrix containing the respective coefficient estimates from the raw fits.

raw.fitted.values

a numeric vector or matrix containing the respective fitted values of the response from the raw fits.

raw.residuals

a numeric vector or matrix containing the respective residuals from the raw fits.

raw.center

a numeric vector giving the robust center estimates of the corresponding raw residuals.

raw.scale

a numeric vector giving the robust scale estimates of the corresponding raw residuals.

raw.cnp2

a numeric value giving the consistency factor applied to the scale estimate of the raw residuals.

raw.wt

an integer vector or matrix containing binary weights that indicate outliers from the respective raw fits, i.e., the weights used for the reweighted fits.

crit

an object of class "bicSelect" containing the BIC values and indicating the final model (only returned if argument crit is "BIC" and argument lambda contains more than one value for the penalty parameter).

x

the predictor matrix (if model is TRUE).

y

the response variable (if model is TRUE).

call

the matched function call.

Note

The underlying C++ code uses the C++ library Armadillo. From package version 0.6.0, the back end for sparse least trimmed squares from package sparseLTSEigen, which uses the C++ library Eigen, is no longer supported and can no longer be used.

Parallel computing is implemented via OpenMP (https://www.openmp.org/).

Author(s)

Andreas Alfons

References

Alfons, A., Croux, C. and Gelper, S. (2013) Sparse least trimmed squares regression for analyzing high-dimensional large data sets. The Annals of Applied Statistics, 7(1), 226–248. doi:10.1214/12-AOAS575

See Also

coef, fitted, plot, predict, residuals, rstandard, weights, ltsReg

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points

## fit sparse LTS model for one value of lambda
sparseLTS(x, y, lambda = 0.05, mode = "fraction")

## fit sparse LTS models over a grid of values for lambda
frac <- seq(0.2, 0.05, by = -0.05)
sparseLTS(x, y, lambda = frac, mode = "fraction")

Data standardization

Description

Standardize data with given functions for computing center and scale.

Usage

standardize(x, centerFun = mean, scaleFun = sd)

robStandardize(
  x,
  centerFun = median,
  scaleFun = mad,
  fallback = FALSE,
  eps = .Machine$double.eps,
  ...
)

Arguments

Details

robStandardize is a wrapper function for robust standardization, hence the default is to use median and mad.

Value

An object of the same type as the original data x containing the centered and scaled data. The center and scale estimates of the original data are returned as attributes "center" and "scale", respectively.

Note

The implementation contains special cases for the typically used combinations mean/sd and median/mad in order to reduce computation time.

Author(s)

Andreas Alfons

See Also

scale, sweep

Examples

## generate data
set.seed(1234)     # for reproducibility
x <- rnorm(10)     # standard normal
x[1] <- x[1] * 10  # introduce outlier

## standardize data
x
standardize(x)     # mean and sd
robStandardize(x)  # median and MAD

Top Gear car data

Description

The data set contains information on cars featured on the website of the popular BBC television show Top Gear.

Usage

data("TopGear")

Format

A data frame with 297 observations on the following 32 variables.

Maker

factor; the car maker.

Model

factor; the car model.

Type

factor; the exact model type.

Fuel

factor; the type of fuel ("Diesel" or "Petrol").

Price

numeric; the list price (in UK pounds)

Cylinders

numeric; the number of cylinders in the engine.

Displacement

numeric; the displacement of the engine (in cc).

DriveWheel

factor; the type of drive wheel ("4WD", "Front" or "Rear").

BHP

numeric; the power of the engine (in bhp).

Torque

numeric; the torque of the engine (in lb/ft).

Acceleration

numeric; the time it takes the car to get from 0 to 62 mph (in seconds).

TopSpeed

numeric; the car's top speed (in mph).

MPG

numeric; the combined fuel consuption (urban + extra urban; in miles per gallon).

Weight

numeric; the car's curb weight (in kg).

Length

numeric; the car's length (in mm).

Width

numeric; the car's width (in mm).

Height

numeric; the car's height (in mm).

AdaptiveHeadlights

factor; whether the car has adaptive headlights ("no", "optional" or "standard").

AdjustableSteering

factor; whether the car has adjustable steering ("no" or "standard").

AlarmSystem

factor; whether the car has an alarm system ("no/optional" or "standard").

Automatic

factor; whether the car has an automatic transmission ("no", "optional" or "standard").

Bluetooth

factor; whether the car has bluetooth ("no", "optional" or "standard").

ClimateControl

factor; whether the car has climate control ("no", "optional" or "standard").

CruiseControl

factor; whether the car has cruise control ("no", "optional" or "standard").

ElectricSeats

factor; whether the car has electric seats ("no", "optional" or "standard").

Leather

factor; whether the car has a leather interior ("no", "optional" or "standard").

ParkingSensors

factor; whether the car has parking sensors ("no", "optional" or "standard").

PowerSteering

factor; whether the car has power steering ("no" or "standard").

SatNav

factor; whether the car has a satellite navigation system ("no", "optional" or "standard").

ESP

factor; whether the car has ESP ("no", "optional" or "standard").

Verdict

numeric; review score between 1 (lowest) and 10 (highest).

Origin

factor; the origin of the car maker ("Asia", "Europe" or "USA").

Source

The data were scraped from http://www.topgear.com/uk/ on 2014-02-24. Variable Origin was added based on the car maker information.

Examples

data("TopGear")
summary(TopGear)

Construct predictor blocks for time series models

Description

Construct blocks of original and lagged values for autoregressive time series models with exogenous inputs. The typical use case is to supply the output as newdata argument to the predict method of robust groupwise least angle regression models.

Usage

tsBlocks(x, y, p = 2, subset = NULL, intercept = TRUE)

Arguments

Value

A matrix containing blocks of original and lagged values of the time series y and x.

Author(s)

Andreas Alfons

See Also

predict.tslars, tslars, predict.tslarsP, tslarsP

(Robust) least angle regression for time series data

Description

(Robustly) sequence groups of candidate predictors and their respective lagged values according to their predictive content and find the optimal model along the sequence. Note that lagged values of the response are included as a predictor group as well.

Usage

tslars(x, ...)

## S3 method for class 'formula'
tslars(formula, data, ...)

## Default S3 method:
tslars(
  x,
  y,
  h = 1,
  pMax = 3,
  sMax = NA,
  fit = TRUE,
  s = c(0, sMax),
  crit = "BIC",
  ncores = 1,
  cl = NULL,
  model = TRUE,
  ...
)

rtslars(x, ...)

## S3 method for class 'formula'
rtslars(formula, data, ...)

## Default S3 method:
rtslars(
  x,
  y,
  h = 1,
  pMax = 3,
  sMax = NA,
  centerFun = median,
  scaleFun = mad,
  regFun = lmrob,
  regArgs = list(),
  combine = c("min", "euclidean", "mahalanobis"),
  winsorize = FALSE,
  const = 2,
  prob = 0.95,
  fit = TRUE,
  s = c(0, sMax),
  crit = "BIC",
  ncores = 1,
  cl = NULL,
  seed = NULL,
  model = TRUE,
  ...
)

Arguments

Value

If fit is FALSE, an integer matrix in which each column contains the indices of the sequenced predictor series for the corresponding lag length.

Otherwise an object of class "tslars" with the following components:

pFit

a list containing the fits for the respective lag lengths (see tslarsP).

pOpt

an integer giving the optimal number of lags.

pMax

the maximum number of lags considered.

x

the matrix of candidate predictor series (if model is TRUE).

y

the response series (if model is TRUE).

call

the matched function call.

Note

The predictor group of lagged values of the response is indicated by the index 0.

Author(s)

Andreas Alfons, based on code by Sarah Gelper

References

Alfons, A., Croux, C. and Gelper, S. (2016) Robust groupwise least angle regression. Computational Statistics & Data Analysis, 93, 421–435. doi:10.1016/j.csda.2015.02.007

See Also

coef, fitted, plot, predict, residuals, tslarsP, lmrob

(Robust) least angle regression for time series data with fixed lag length

Description

(Robustly) sequence groups of candidate predictors and their respective lagged values according to their predictive content and find the optimal model along the sequence. Note that lagged values of the response are included as a predictor group as well.

Usage

tslarsP(x, ...)

## S3 method for class 'formula'
tslarsP(formula, data, ...)

## Default S3 method:
tslarsP(
  x,
  y,
  h = 1,
  p = 2,
  sMax = NA,
  fit = TRUE,
  s = c(0, sMax),
  crit = "BIC",
  ncores = 1,
  cl = NULL,
  model = TRUE,
  ...
)

rtslarsP(x, ...)

## S3 method for class 'formula'
rtslarsP(formula, data, ...)

## Default S3 method:
rtslarsP(
  x,
  y,
  h = 1,
  p = 2,
  sMax = NA,
  centerFun = median,
  scaleFun = mad,
  regFun = lmrob,
  regArgs = list(),
  combine = c("min", "euclidean", "mahalanobis"),
  winsorize = FALSE,
  const = 2,
  prob = 0.95,
  fit = TRUE,
  s = c(0, sMax),
  crit = "BIC",
  ncores = 1,
  cl = NULL,
  seed = NULL,
  model = TRUE,
  ...
)

Arguments

Value

If fit is FALSE, an integer vector containing the indices of the sequenced predictor series.

Otherwise an object of class "tslarsP" (inheriting from classes "grplars" and "seqModel") with the following components:

active

an integer vector containing the sequence of predictor series.

s

an integer vector containing the steps for which submodels along the sequence have been computed.

coefficients

a numeric matrix in which each column contains the regression coefficients of the corresponding submodel along the sequence.

fitted.values

a numeric matrix in which each column contains the fitted values of the corresponding submodel along the sequence.

residuals

a numeric matrix in which each column contains the residuals of the corresponding submodel along the sequence.

df

an integer vector containing the degrees of freedom of the submodels along the sequence (i.e., the number of estimated coefficients).

robust

a logical indicating whether a robust fit was computed.

scale

a numeric vector giving the robust residual scale estimates for the submodels along the sequence (only returned for a robust fit).

crit

an object of class "bicSelect" containing the BIC values and indicating the final model (only returned if argument crit is "BIC" and argument s indicates more than one step along the sequence).

muX

a numeric vector containing the center estimates of the predictor variables.

sigmaX

a numeric vector containing the scale estimates of the predictor variables.

muY

numeric; the center estimate of the response.

sigmaY

numeric; the scale estimate of the response.

x

the matrix of candidate predictor series (if model is TRUE).

y

the response series (if model is TRUE).

assign

an integer vector giving the predictor group to which each predictor variable belongs.

w

a numeric vector giving the data cleaning weights (only returned for a robust fit).

h

the forecast horizon.

p

the number of lags in the model.

call

the matched function call.

Note

The predictor group of lagged values of the response is indicated by the index 0.

Author(s)

Andreas Alfons, based on code by Sarah Gelper

References

Alfons, A., Croux, C. and Gelper, S. (2016) Robust groupwise least angle regression. Computational Statistics & Data Analysis, 93, 421–435. doi:10.1016/j.csda.2015.02.007

See Also

coef, fitted, plot, predict, residuals, rstandard, tslars, lmrob

Extract outlier weights from sparse LTS regression models

Description

Extract binary weights that indicate outliers from sparse least trimmed squares regression models.

Usage

## S3 method for class 'sparseLTS'
weights(
  object,
  type = "robustness",
  s = NA,
  fit = c("reweighted", "raw", "both"),
  drop = !is.null(s),
  ...
)

Arguments

Value

A numeric vector or matrix containing the requested outlier weights.

Note

The weights are 1 for observations with reasonably small residuals and 0 for observations with large residuals.

Author(s)

Andreas Alfons

See Also

sparseLTS

Examples

## generate data
# example is not high-dimensional to keep computation time low
library("mvtnorm")
set.seed(1234)  # for reproducibility
n <- 100  # number of observations
p <- 25   # number of variables
beta <- rep.int(c(1, 0), c(5, p-5))  # coefficients
sigma <- 0.5      # controls signal-to-noise ratio
epsilon <- 0.1    # contamination level
Sigma <- 0.5^t(sapply(1:p, function(i, j) abs(i-j), 1:p))
x <- rmvnorm(n, sigma=Sigma)    # predictor matrix
e <- rnorm(n)                   # error terms
i <- 1:ceiling(epsilon*n)       # observations to be contaminated
e[i] <- e[i] + 5                # vertical outliers
y <- c(x %*% beta + sigma * e)  # response
x[i,] <- x[i,] + 5              # bad leverage points

## sparse LTS over a grid of values for lambda
# fit model
frac <- seq(0.2, 0.05, by = -0.05)
fitGrid <- sparseLTS(x, y, lambda = frac, mode = "fraction")
# extract outlier weights
weights(fitGrid)
head(weights(fitGrid, fit = "both"))
head(weights(fitGrid, s = NULL))
head(weights(fitGrid, fit = "both", s = NULL))

Data cleaning by winsorization

Description

Clean data by means of winsorization, i.e., by shrinking outlying observations to the border of the main part of the data.

Usage

winsorize(x, ...)

## Default S3 method:
winsorize(
  x,
  standardized = FALSE,
  centerFun = median,
  scaleFun = mad,
  const = 2,
  return = c("data", "weights"),
  ...
)

## S3 method for class 'matrix'
winsorize(
  x,
  standardized = FALSE,
  centerFun = median,
  scaleFun = mad,
  const = 2,
  prob = 0.95,
  tol = .Machine$double.eps^0.5,
  return = c("data", "weights"),
  ...
)

## S3 method for class 'data.frame'
winsorize(x, ...)

Arguments

Details

The borders of the main part of the data are defined on the scale of the robustly standardized data. In the univariate case, the borders are given by +/-const, thus a symmetric distribution is assumed. In the multivariate case, a normal distribution is assumed and the data are shrunken towards the boundary of a tolerance ellipse with coverage probability prob. The boundary of this ellipse is thereby given by all points that have a squared Mahalanobis distance equal to the quantile of the \chi^{2} distribution given by prob.

Value

If standardize is TRUE and return is "weights", a set of data cleaning weights. Multiplying each observation of the standardized data by the corresponding weight yields the cleaned standardized data.

Otherwise an object of the same type as the original data x containing the cleaned data is returned.

Note

Data cleaning weights are only meaningful for standardized data. In the general case, the data need to be standardized first, then the data cleaning weights can be computed and applied to the standardized data, after which the cleaned standardized data need to be backtransformed to the original scale.

Author(s)

Andreas Alfons, based on code by Jafar A. Khan, Stefan Van Aelst and Ruben H. Zamar

References

Khan, J.A., Van Aelst, S. and Zamar, R.H. (2007) Robust linear model selection based on least angle regression. Journal of the American Statistical Association, 102(480), 1289–1299. doi:10.1198/016214507000000950

See Also

corHuber

Examples

## generate data
set.seed(1234)     # for reproducibility
x <- rnorm(10)     # standard normal
x[1] <- x[1] * 10  # introduce outlier

## winsorize data
x
winsorize(x)