local_mfdr() is called by summary.ncvreg(), which typically offers a more convenient interface to users.
If, however, you are working with local mfdrs programmatically rather than interactively, you probably want to
use local_mfdr(), which skips the sorting, filtering, and print formatting of summary.ncvreg().
local_mfdr(
fit,
lambda,
X = NULL,
y = NULL,
method = c("ashr", "kernel"),
sigma,
...
)A fitted ncvreg or ncvsurv object.
The value of lambda at which inference should be carried out.
The design matrix and response used to fit the model; in most cases, it is not necessary to provide
X and y as they are returned by ncvreg, but see the returnX argument in ncvreg().
What method should be used to calculate the local fdr? Options are ashr (which tends to be more
accurate) and kernel (which requires no additional packages). The default is to use ashr if the package is
installed.
For linear regression models, users can supply an estimate of the residual standard deviation. The default is to use RSS / DF, where degrees of freedom are approximated using the number of nonzero coefficients.
Additional arguments to ashr::ash() if using method='ashr'.
If all features are penalized, then the object returns a data frame with one row per feature and four columns:
Estimate: The coefficient estimate from the penalized regression fit
z: A test statistic that approximately follows a standard normal distribution under the null hypothesis that the
feature is marginally independent of the outcome
mfdr: The estimated marginal local false discovery rate
Selected: Features with nonzero coefficient estimates are given an asterisk
If some features are penalized and others are not, then a list is returned with two elements: pen.vars, which consists
of the data frame described above, and unpen.vars, a data frame with four columns: Estimate, SE, Statistic, and
p.value. The standard errors and p-values are based on a classical lm/glm/coxph model using the effect of the
penalized features as an offset.
# Linear regression
data(Prostate)
fit <- ncvreg(Prostate$X, Prostate$y)
local_mfdr(fit, 0.1)
#> Estimate z mfdr Selected
#> lcavol 0.5387509 8.8807209 4.956187e-16 *
#> lweight 0.6382717 3.9554154 1.172927e-02 *
#> age 0.0000000 -1.0067558 9.454421e-01
#> lbph 0.0000000 1.2720071 9.275879e-01
#> svi 0.6102800 3.7616622 2.430660e-02 *
#> lcp 0.0000000 -0.1448424 9.660606e-01
#> gleason 0.0000000 0.7670990 9.554227e-01
#> pgg45 0.0000000 0.9391426 9.487372e-01
fit <- ncvreg(Prostate$X, Prostate$y, penalty.factor=rep(0:1, each=4))
local_mfdr(fit, 0.1)
#> $pen.vars
#> Estimate z mfdr Selected
#> svi 0.6965651 4.1620116 0.00927594 *
#> lcp 0.0000000 -0.3000954 0.97982329
#> gleason 0.0000000 0.8748507 0.97194659
#> pgg45 0.0000000 1.0057234 0.96838914
#>
#> $unpen.vars
#> Estimate std.error statistic p.value
#> lcavol 0.54734893 0.06407513 8.542219 2.654740e-13
#> lweight 0.58932799 0.19646341 2.999457 3.479201e-03
#> age -0.01641325 0.01061286 -1.546875 1.253265e-01
#> lbph 0.10049326 0.05671452 1.772200 7.967190e-02
#>
# Logistic regression
data(Heart)
X <- Heart$X
y <- Heart$y
fit <- ncvreg(X, y, family='binomial')
local_mfdr(fit, 0.1)
#> Estimate z mfdr Selected
#> sbp 0.00000000 2.1766234 4.935585e-01
#> tobacco 0.00000000 4.1575377 1.883630e-03
#> ldl 0.00000000 4.2061346 1.542018e-03
#> adiposity 0.00000000 2.5179307 3.043436e-01
#> famhist 0.05505671 4.7878991 1.190670e-04 *
#> typea 0.00000000 2.8422109 1.550916e-01
#> obesity 0.00000000 0.7961026 8.835105e-01
#> alcohol 0.00000000 0.9210390 8.720085e-01
#> age 0.03577763 8.1799158 1.199132e-13 *
# Cox regression
data(Lung)
X <- Lung$X
y <- Lung$y
fit <- ncvsurv(X, y)
local_mfdr(fit, 0.1)
#> Estimate z mfdr Selected
#> trt 0.03737689 1.3316047 9.462748e-01 *
#> karno -0.03196343 -6.3518252 1.081598e-07 *
#> diagtime 0.00000000 0.2972526 9.761319e-01
#> age 0.00000000 -0.5655773 9.732810e-01
#> prior 0.00000000 0.2907796 9.761762e-01
#> squamous -0.64313783 -3.1199729 2.476091e-01 *
#> small 0.00000000 0.2041520 9.766697e-01
#> adeno 0.28016650 2.0507762 8.392153e-01 *
#> large -0.20731421 -1.7987677 8.944907e-01 *