crossvalidation

Generic R functions for cross-validation

Installation

In R console:

options(repos = c(
    techtonique = 'https://techtonique.r-universe.dev',
    CRAN = 'https://cloud.r-project.org'))
    
install.packages("crossvalidation")
  • 2nd method: from Github

In R console:

devtools::install_github("Techtonique/crossvalidation")

Demo 

# dataset
 set.seed(123)
 n <- 100 ; p <- 5
 X <- matrix(rnorm(n * p), n, p)
 y <- rnorm(n)

Linear model


# 'X' contains the explanatory variables
# 'y' is the response
# 'k' is the number of folds in k-fold cross-validation
# 'repeats' is the number of repeats of the k-fold cross-validation procedure

# linear model example -----

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3)

# linear model example, with validation set

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3, p = 0.8)

glmnet

# glmnet example -----

# fit glmnet, with alpha = 1, lambda = 0.1

require(glmnet)
require(Matrix)

 crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3,
 fit_func = glmnet::glmnet, predict_func = predict.glmnet,
 packages = c("glmnet", "Matrix"), fit_params = list(alpha = 0.5, lambda = 0.1))

# fit glmnet, with alpha = 0, lambda = 0.01

 crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3,
 fit_func = glmnet::glmnet, predict_func = predict.glmnet,
 packages = c("glmnet", "Matrix"), fit_params = list(alpha = 0, lambda = 0.01))

 # fit glmnet, with alpha = 0, lambda = 0.01, with validation set

 crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 2, p = 0.8,
 fit_func = glmnet::glmnet, predict_func = predict.glmnet,
 packages = c("glmnet", "Matrix"), fit_params = list(alpha = 0, lambda = 0.01))

Random Forest

# randomForest example -----

require(randomForest)

# fit randomForest with mtry = 2

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3,
fit_func = randomForest::randomForest, predict_func = predict,
packages = "randomForest", fit_params = list(mtry = 2))

# fit randomForest with mtry = 4

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3,
fit_func = randomForest::randomForest, predict_func = predict,
packages = "randomForest", fit_params = list(mtry = 4))

# fit randomForest with mtry = 4, with validation set

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 2, p = 0.8,
fit_func = randomForest::randomForest, predict_func = predict,
packages = "randomForest", fit_params = list(mtry = 4))

xgboost

# xgboost example -----

require(xgboost)

# The response and covariates are named 'label' and 'data'
# So, we do this:

f_xgboost <- function(x, y, ...) xgboost::xgboost(data = x, label = y, ...)

# fit xgboost with nrounds = 5

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3,
  fit_func = f_xgboost, predict_func = predict,
   packages = "xgboost", fit_params = list(nrounds = 5,
   verbose = FALSE))

# fit xgboost with nrounds = 10

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 3,
  fit_func = f_xgboost, predict_func = predict,
   packages = "xgboost", fit_params = list(nrounds = 10,
   verbose = FALSE))

# fit xgboost with nrounds = 10, with validation set

crossvalidation::crossval_ml(x = X, y = y, k = 5, repeats = 2, p = 0.8,
  fit_func = f_xgboost, predict_func = predict,
   packages = "xgboost", fit_params = list(nrounds = 10,
   verbose = FALSE))

Theta method (time series)

require(forecast)
res <- crossvalidation::crossval_ts(y=AirPassengers, initial_window = 10, fcast_func = thetaf)
print(colMeans(res))

Contributing

Your contributions are welcome, and valuable. Please, make sure to read the Code of Conduct first.

If you’re not comfortable with Git/Version Control yet, please use this form.

License

BSD 3-Clause © Thierry Moudiki, 2019.