nestedcv: Nested Cross-Validation with 'glmnet' and 'caret'
Implements nested k*l-fold cross-validation for lasso and elastic-net regularised linear models via the 'glmnet' package and other machine learning models via the 'caret' package. Cross-validation of 'glmnet' alpha mixing parameter and embedded fast filter functions for feature selection are provided. Described as double cross-validation by Stone (1977) <doi:10.1111/j.2517-6161.1977.tb01603.x>. Also implemented is a method using outer CV to measure unbiased model performance metrics when fitting Bayesian linear and logistic regression shrinkage models using the horseshoe prior over parameters to encourage a sparse model as described by Piironen & Vehtari (2017) <doi:10.1214/17-EJS1337SI>.
| Version: | 0.7.8 |
| Imports: | caret, data.table, doParallel, foreach, ggplot2, glmnet, matrixStats, matrixTests, methods, parallel, pROC, Rfast, RhpcBLASctl, rlang, ROCR |
| Suggests: | Boruta, CORElearn, fastshap (≥ 0.1.0), gbm, ggbeeswarm, ggpubr, hsstan, mda, mlbench, pbapply, pls, randomForest, ranger, RcppEigen, rmarkdown, knitr, SuperLearner |
| Published: | 2024-03-13 |
| Author: | Myles Lewis  [aut,
cre],
Athina Spiliopoulou
[aut],
Cankut Cubuk
[ctb],
Katriona Goldmann
[ctb] |
| Maintainer: | Myles Lewis <myles.lewis at qmul.ac.uk> |
| BugReports: | https://github.com/myles-lewis/nestedcv/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/myles-lewis/nestedcv |
| NeedsCompilation: | no |
| Language: | en-gb |
| Citation: | nestedcv citation info |
| Materials: | README NEWS |
| In views: | MachineLearning |
| CRAN checks: | nestedcv results |
Documentation:
| Reference manual: | nestedcv.pdf |
| Vignettes: |
nestedcv guide Using outercv with Bayesian shrinkage models Explaining nestedcv models with Shapley values |
Downloads:
| Package source: | nestedcv_0.7.8.tar.gz |
| Windows binaries: | r-devel: nestedcv_0.7.8.zip, r-release: nestedcv_0.7.8.zip, r-oldrel: nestedcv_0.7.8.zip |
| macOS binaries: | r-release (arm64): nestedcv_0.7.8.tgz, r-oldrel (arm64): nestedcv_0.7.8.tgz, r-release (x86_64): nestedcv_0.7.8.tgz, r-oldrel (x86_64): nestedcv_0.7.8.tgz |
| Old sources: | nestedcv archive |
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