R: Validation of a Quantile Regression Model

validate.Rq {rms} | R Documentation

## Validation of a Quantile Regression Model

### Description

The `validate` function when used on an object created by `Rq` does resampling validation of a quantile regression model, with or without backward step-down variable deletion. Uses resampling to estimate the optimism in various measures of predictive accuracy which include mean absolute prediction error (MAD), Spearman rho, the g-index, and the intercept and slope of an overall calibration a + b * (predicted y). The "corrected" slope can be thought of as shrinkage factor that takes into account overfitting. `validate.Rq` can also be used when a model for a continuous response is going to be applied to a binary response. A Somers' D_{xy} for this case is computed for each resample by dichotomizing `y`. This can be used to obtain an ordinary receiver operating characteristic curve area using the formula 0.5(D_{xy} + 1). See `predab.resample` for the list of resampling methods.

The LaTeX `needspace` package must be in effect to use the `latex` method.

### Usage

    # fit <- fitting.function(formula=response ~ terms, x=TRUE, y=TRUE)
    ## S3 method for class 'Rq'
    validate(fit, method="boot", B=40,
             bw=FALSE, rule="aic", type="residual", sls=0.05, aics=0,
             force=NULL, estimates=TRUE, pr=FALSE, u=NULL, rel=">",
             tolerance=1e-7, ...)

### Arguments

`fit` | a fit derived by `Rq`. The options `x=TRUE` and `y=TRUE` must have been specified. See `validate` for a description of arguments `method` - `pr`.
`method,B,bw,rule,type,sls,aics,force,estimates,pr` | see `validate` and `predab.resample` and `fastbw`
`u` | If specifed, `y` is also dichotomized at the cutoff `u` for the purpose of getting a bias-corrected estimate of D_{xy}.
`rel` | relationship for dichotomizing predicted `y`. Defaults to `">"` to use `y>u`. `rel` can also be `"<"`, `">="`, and `"<="`.
`tolerance` | ignored
`...` | other arguments to pass to `predab.resample`, such as `group`, `cluster`, and `subset`

### Value

matrix with rows corresponding to various indexes, and optionally D_{xy}, and columns for the original index, resample estimates, indexes applied to whole or omitted sample using model derived from resample, average optimism, corrected index, and number of successful resamples.

### Side Effects

prints a summary, and optionally statistics for each re-fit

### Author(s)

Frank Harrell
Department of Biostatistics, Vanderbilt University
f.harrell@vanderbilt.edu

### See Also

`Rq`, `predab.resample`, `fastbw`, `rms`, `rms.trans`, `gIndex`

### Examples

    set.seed(1)
    x1 <- runif(200)
    x2 <- sample(0:3, 200, TRUE)
    x3 <- rnorm(200)
    distance <- (x1 + x2/3 + rnorm(200))^2

    f <- Rq(sqrt(distance) ~ rcs(x1,4) + scored(x2) + x3, x=TRUE, y=TRUE)

    #Validate full model fit (from all observations) but for x1 < .75
    validate(f, B=20, subset=x1 < .75)   # normally B=300

    #Validate stepwise model with typical (not so good) stopping rule
    validate(f, B=20, bw=TRUE, rule="p", sls=.1, type="individual")

[Package rms version 5.1-1 Index]