forward.sel: Forward selection with multivariate Y using permutation under reducel model

Description

Performs a forward selection by permutation of residuals under reduced model. Y can be multivariate.

Usage

forward.sel(
  Y,
  X,
  K = nrow(X) - 1,
  R2thresh = 0.99,
  adjR2thresh = 0.99,
  nperm = 999,
  R2more = 0.001,
  alpha = 0.05,
  Xscale = TRUE,
  Ycenter = TRUE,
  Yscale = FALSE,
  verbose = TRUE
)

Value

A dataframe with:

variables: The names of the variables
order: The order of the selection of the variables
R2: The R2 of the variable selected
R2Cum: The cumulative R2 of the variables selected
AdjR2Cum: The cumulative adjusted R2 of the variables selected
F: The F statistic
pval: The P-value statistic

Arguments

Y: Response data matrix with n rows and m columns containing quantitative variables
X: Explanatory data matrix with n rows and p columns containing quantitative variables
K: Maximum number of variables to be selected. The default is one minus the number of rows
R2thresh: Stop the forward selection procedure if the R-square of the model exceeds the stated value. This parameter can vary from 0.001 to 1
adjR2thresh: Stop the forward selection procedure if the adjusted R-square of the model exceeds the stated value. This parameter can take any value (positive or negative) smaller than 1
nperm: The number of permutation to be used.The default setting is 999 permutation.
R2more: Stop the forward selection procedure if the difference in model R-square with the previous step is lower than R2more. The default setting is 0.001
alpha: Significance level. Stop the forward selection procedure if the p-value of a variable is higher than alpha. The default is 0.05 is TRUE
Xscale: Standardize the variables in table X to variance 1. The default setting is TRUE
Ycenter: Center the variables in table Y. The default setting is TRUE
Yscale: Standardize the variables in table Y to variance 1. The default setting is FALSE.
verbose: If 'TRUE' more diagnostics are printed. The default setting is TRUE

Author

Stephane Dray stephane.dray@univ-lyon1.fr

Details

The forward selection will stop when either K, R2tresh, adjR2tresh, alpha and R2more has its parameter reached.

References

Canoco manual p.49

Examples

Run this code


x <- matrix(rnorm(30),10,3)
y <- matrix(rnorm(50),10,5)
    
forward.sel(y,x,nperm=99, alpha = 0.5)

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