This function extracts the variable importance of an SDAM.
The variable importance is calculated as the empirical squared L2 norm of fj.
The measure is not standardized.
# S3 method for class 'SDAM'
varImp(object)
Arguments
- object
an SDAM object
Value
A vector of variable importance
Author
Cyrill Scheidegger
Examples
set.seed(1)
X <- matrix(rnorm(10 * 5), ncol = 5)
Y <- sin(X[, 1]) - X[, 2] + rnorm(10)
model <- SDAM(x = X, y = Y, Q_type = "trim", trim_quantile = 0.5, nfold = 2)
#> [1] "Initial cross-validation"
#> [1] "Second stage cross-validation"
varImp(model)
#> X1 X2 X3 X4 X5
#> 0 0 0 0 0