Compute the cross-validation for the ngme model Perform cross-validation for ngme model first into sub_groups (a list of target, and train data)

Source: R/validation.R 
cross_validation(
  ngme,
  type = "k-fold",
  seed = NULL,
  print = FALSE,
  N_sim = 5,
  n_gibbs_samples = 500,
  n_burnin = 100,
  k = 5,
  percent = 0.2,
  times = 10,
  transform = identity,
  test_idx = NULL,
  train_idx = NULL,
  keep_pred = FALSE,
  parallel = FALSE,
  thining_gap = 1,
  cores_layer1 = if (parallel) min(parallel::detectCores(), 2) else 1,
  cores_layer2 = if (parallel) min(parallel::detectCores(), 2) else 1,
  merge_groups = FALSE,
  merged_group_name = NULL
)

Arguments

ngme

a ngme object, or a list of ngme object (if comparing multiple models)

type

character, in c("k-fold", "loo", "lpo", "custom") k-fold is k-fold cross-validation, provide k loo is leave-one-out, lpo is leave-percent-out, provide percent from 1 to 100 custom is user-defined group, provide target and data

seed

random seed

print

print information during computation

N_sim

integer, number of simulations (e.g., estimate MAE, MSE, .. N times)

n_gibbs_samples

number of gibbs samples of latent process, used for computing CRPS, sCRPS

n_burnin

number of burnin

k

integer (only for k-fold type)

percent

how many percent for testing? from 0 to 1 (for lpo type)

times

how many test cases (only for lpo type)

transform

a function to transform the data (e.g., log, exp, ...) e.g., the MAE will be computed as |transform(Y) - transform(Y_pred)|

test_idx

a list of indices of the data (which data points to be predicted) (only for custom type)

train_idx

a list of indices of the data (which data points to be used for re-sampling (not re-estimation)) (only for custom type)

keep_pred

logical, keep test information (pred_1, pred_2) in the return (as attributes), pred_1 and pred_2 are the prediction of the two chains

parallel

logical, run in parallel mode

thining_gap

integer, the gap between samples for thinning, if 0, then no thinning, if 1, then keep 50

cores_layer1integer, number of cores for the first layer (over testing samples)

cores_layer2integer, number of cores for the second layer (over computing scores for N_sim simulations)

merge_groupslogical, if TRUE, merge groups as vector components (e.g., for vector-valued wind data with north_wind, east_wind). MAE becomes Euclidean distance, MSE becomes squared Euclidean distance, etc.

merged_group_namecharacter, name for the merged group when merge_groups=TRUE. If NULL, uses "group1_group2" format (default: NULL)

A list containing:

  • mean.scores - mean of N_sim estimations of 4 criterions: MSE, MAE, CRPS, sCRPS

  • sd.scores - standard deviation of N_sim estimations of 4 criterions: MSE, MAE, CRPS, sCRPS

Compute the cross-validation for the ngme model Perform cross-validation for ngme model first into sub_groups (a list of target, and train data)