Package 'CBPE'

Title: Correlation-Based Penalized Estimators
Description: Provides correlation-based penalty estimators for both linear and logistic regression models by implementing a new regularization method that incorporates correlation structures within the data. This method encourages a grouping effect where strongly correlated predictors tend to be in or out of the model together. See Tutz and Ulbricht (2009) <doi:10.1007/s11222-008-9088-5> and Algamal and Lee (2015) <doi:10.1016/j.eswa.2015.08.016>.
Authors: Mohammad Arashi [ctb] , Mahdi Rahimi [ctb], Mina Norouzirad [aut, cre, cph] , FCT, I.P. [fnd] (under the scope of the projects UIDB/00297/2020 and UIDP/00297/2020 (NovaMath))
Maintainer: Mina Norouzirad <[email protected]>
License: GPL (>= 2)
Version: 0.1.0
Built: 2024-09-10 06:45:00 UTC
Source: CRAN

Help Index

Correlation-based Estimator for Linear Regression Models

Description

This function computes the correlation-based estimator for linear regression models.

Usage

CBPLinearE(X, y, lambda)

Arguments

X

A numeric matrix of predictors where rows represent observations and columns represent variables.
y

A numeric vector of response variables.
lambda

A regularization parameter.

Details

The correlation-based penalized linear estimator is calculated as:

β^=argmin{∑i=1n(yi−xi⊤β)2+λ∑i=1p−1∑j>i((βi−βj)21−ρij+(βi+βj)21+ρij)}\hat{\beta} = \text{argmin} \left\{ \sum_{i=1}^n (y_i - \mathbf{x}_i^\top \boldsymbol{\beta})^2 + \lambda \sum_{i=1}^{p-1} \sum_{j>i} \left( \frac{(\beta_i - \beta_j)^2}{1 - \rho_{ij}} + \frac{(\beta_i + \beta_j)^2}{1 + \rho_{ij}} \right) \right\}

where ρij\rho_{ij} denotes the (empirical) correlation between the iith and the jjth predictor.

Value

A numeric vector of the estimated coefficients for the specified model.

References

Tutz, G., Ulbricht, J. (2009). Penalized regression with correlation-based penalty. Stat Comput 19, 239–253.

Examples

set.seed(42)
n <- 100
p <- 4
X <- matrix(rnorm(n * p), n, p)
beta_true <- c(0.5, -1, 2, 5)
y <- X %*% beta_true + rnorm(n)
lambda <- 0.1

result <- CBPLinearE(X, y, lambda = lambda)
print(result)

Correlation-based Estimator for Logistic Regression Models

Description

This function computes the correlation-based estimator for logistic regression models.

Usage

CBPLogisticE(X, y, lambda, max_iter = 100, tol = 1e-06)

Arguments

X

A numeric matrix of predictors where rows represent observations and columns represent variables.
y

A numeric vector of binary outcomes (0 or 1).
lambda

A regularization parameter.
max_iter

An integer specifying the maximum number of iterations for the logistic regression algorithm. Default is 100.
tol

A numeric value specifying the convergence tolerance for the logistic regression algorithm. Default is 1e-10.

Details

The correlation-based penalized logistic estimator is calculated as:

β^=argmin{∑i=1n(yiln⁡(πi)+(1−yi)ln⁡(1−πi))+λ∑i=1p−1∑j>i((βi−βj)21−ρij+(βi+βj)21+ρij)}\hat{\beta} = \text{argmin}\left\{ \sum_{i=1}^n \left( y_i \ln(\pi_i) + (1 - y_i) \ln(1 - \pi_i) \right) + \lambda \sum_{i=1}^{p-1} \sum_{j>i} \left( \frac{(\beta_i - \beta_j)^2}{1 - \rho_{ij}} + \frac{(\beta_i + \beta_j)^2}{1 + \rho_{ij}} \right) \right\}

where πi=Pr(yi=1∣xi)\pi_i = \text{Pr}(y_i = 1|\mathbf{x}_i) and ρij\rho_{ij} denotes the (empirical) correlation between the iith and the jjth predictor.

Value

A numeric vector of the estimated coefficients for the specified model.

References

Algamal, Z. Y., & Lee, M. H. (2015). Penalized logistic regression with the adaptive LASSO for gene selection in high-dimensional cancer classification. Expert Systems with Applications, 42(23), 9326-9332.

Examples

set.seed(42)
n <- 100
p <- 4
X <- matrix(rnorm(n * p), n, p)
beta_true <- c(0.5, -1, 2, 5)
y <- rbinom(n, 1, 1 / (1 + exp(-X %*% beta_true)))
lambda <- 0.1

result <- CBPLogisticE(X, y, lambda)
print(result)