Categorical Factor Regression Spline Cross-Validation

frscv computes exhaustive cross-validation directed search for a regression spline estimate of a one (1) dimensional dependent variable on an r-dimensional vector of continuous predictors and nominal/ordinal (factor/ordered) predictors.

Usage

frscv(xz,
      y,
      basis = c("additive","tensor","glp","auto"),
      complexity = c("degree-knots","degree","knots"),
      cv.func = c("cv.ls","cv.gcv","cv.aic"),
      degree = degree,
      degree.max = 10,
      degree.min = 0,
      display.nomad.progress = TRUE,
      display.warnings = TRUE,
      knots = c("quantiles","uniform","auto"),
      segments = segments,
      segments.max = 10,
      segments.min = 1,
      singular.ok = FALSE,
      tau = NULL,
      weights = NULL)

Arguments

Data, Model Inputs And Formula Interface

These arguments identify explicit data inputs for exhaustive spline search.

xz: continuous and/or nominal/ordinal (factor/ordered) predictors
y: continuous univariate vector

Basis And Spline Complexity

These arguments control basis type and spline complexity.

basis: a character string (default basis="additive") indicating whether the additive or tensor product B-spline basis matrix for a multivariate polynomial spline or generalized B-spline polynomial basis should be used. Note this can be automatically determined by cross-validation if cv=TRUE and basis="auto", and is an ‘all or none’ proposition (i.e. interaction terms for all predictors or for no predictors given the nature of ‘tensor products’). Note also that if there is only one predictor this defaults to basis="additive" to avoid unnecessary computation as the spline bases are equivalent in this case
complexity: a character string (default complexity="degree-knots") indicating whether model ‘complexity’ is determined by the degree of the spline or by the number of segments (‘knots’). This option allows the user to use cross-validation to select either the spline degree (number of knots held fixed) or the number of knots (spline degree held fixed) or both the spline degree and number of knots
degree: integer/vector specifying the degree of the B-spline basis for each dimension of the continuous x
degree.max: the maximum degree of the B-spline basis for each of the continuous predictors (default degree.max=10)
degree.min: the minimum degree of the B-spline basis for each of the continuous predictors (default degree.min=0)
knots: a character string (default knots="quantiles") specifying where knots are to be placed. ‘quantiles’ specifies knots placed at equally spaced quantiles (equal number of observations lie in each segment) and ‘uniform’ specifies knots placed at equally spaced intervals. If knots="auto", the knot type will be automatically determined by cross-validation
segments: integer/vector specifying the number of segments of the B-spline basis for each dimension of the continuous x (i.e. number of knots minus one)
segments.max: the maximum segments of the B-spline basis for each of the continuous predictors (default segments.max=10)
segments.min: the minimum segments of the B-spline basis for each of the continuous predictors (default segments.min=1)

Exhaustive Search Controls

These arguments control exhaustive cross-validation search.

cv.func: a character string (default cv.func="cv.ls") indicating which method to use to select smoothing parameters. cv.gcv specifies generalized cross-validation (Craven and Wahba (1979)), cv.aic specifies expected Kullback-Leibler cross-validation (Hurvich, Simonoff, and Tsai (1998)), and cv.ls specifies least-squares cross-validation
singular.ok: a logical value (default singular.ok=FALSE) that, when FALSE, discards singular bases during cross-validation (a check for ill-conditioned bases is performed).

Quantile And Weights

These arguments control quantile level and observation weights.

tau: if non-null a number in (0,1) denoting the quantile for which a quantile regression spline is to be estimated rather than estimating the conditional mean (default tau=NULL)
weights: an optional vector of weights to be used in the fitting process. Should be ‘NULL’ or a numeric vector. If non-NULL, weighted least squares is used with weights ‘weights’ (that is, minimizing ‘sum(w*e^2)’); otherwise ordinary least squares is used.

Warnings And Progress

These arguments control warnings and displayed optimizer progress.

display.nomad.progress: a logical value indicating whether to display NOMAD progress (default display.nomad.progress=TRUE)
display.warnings: a logical value indicating whether to display warnings (default display.warnings=TRUE)

Details

frscv computes exhaustive cross-validation for a regression spline estimate of a one (1) dimensional dependent variable on an r-dimensional vector of continuous and nominal/ordinal (factor/ordered) predictors. The optimal K/I combination (i.e.\ degree/segments/I) is returned along with other results (see below for return values).

For the continuous predictors the regression spline model employs either the additive or tensor product B-spline basis matrix for a multivariate polynomial spline via the B-spline routines in the GNU Scientific Library (https://www.gnu.org/software/gsl/) and the tensor.prod.model.matrix function.

For the nominal/ordinal (factor/ordered) predictors the regression spline model uses indicator basis functions.

Value

frscv returns a crscv object. Furthermore, the function summary supports objects of this type. The returned objects have the following components:

K: scalar/vector containing optimal degree(s) of spline or number of segments
I: scalar/vector containing an indicator of whether the predictor is included or not for each dimension of the nominal/ordinal (factor/ordered) predictors
K.mat: vector/matrix of values of K evaluated during search
cv.func: objective function value at optimum
cv.func.vec: vector of objective function values at each degree of spline or number of segments in K.mat

References

Craven, P. and G. Wahba (1979), “Smoothing Noisy Data With Spline Functions,” Numerische Mathematik, 13, 377-403.

Hurvich, C.M. and J.S. Simonoff and C.L. Tsai (1998), “Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion,” Journal of the Royal Statistical Society B, 60, 271-293.

Li, Q. and J.S. Racine (2007), Nonparametric Econometrics: Theory and Practice, Princeton University Press.

Ma, S. and J.S. Racine and L. Yang (2015), “Spline Regression in the Presence of Categorical Predictors,” Journal of Applied Econometrics, Volume 30, 705-717.

Ma, S. and J.S. Racine (2013), “Additive Regression Splines with Irrelevant Categorical and Continuous Regressors,” Statistica Sinica, Volume 23, 515-541.

Author

Jeffrey S. Racine racinej@mcmaster.ca

Examples

set.seed(42)
## Simulated data
n <- 1000

x <- runif(n)
z <- round(runif(n,min=-0.5,max=1.5))
z.unique <- uniquecombs(as.matrix(z))
ind <-  attr(z.unique,"index")
ind.vals <-  sort(unique(ind))
dgp <- numeric(length=n)
for(i in 1:nrow(z.unique)) {
  zz <- ind == ind.vals[i]
  dgp[zz] <- z[zz]+cos(2*pi*x[zz])
}

y <- dgp + rnorm(n,sd=.1)

xdata <- data.frame(x,z=factor(z))

## Compute the optimal K and I, determine optimal number of knots, set
## spline degree for x to 3

cv <- frscv(x=xdata,y=y,complexity="knots",degree=c(3))
summary(cv)
#> 
#> Factor Regression Spline Cross-Validation
#> 
#> Objective function: cv.ls
#> Objective function value: 0.009765731
#> 
#> Knot type: quantiles
#> Model complexity proxy: knots
#> Spline degree/number of segments for x[1]: 3/4
#> Inclusion indicator for z[1]: 1
#> 
#> Maximum spline degree for search: 10
#> Basis: additive
#>