Description
Sparse Canonical Correlation Analysis for High-Dimensional Mixed Data.
Description
Semi-parametric approach for sparse canonical correlation analysis which can handle mixed data types: continuous, binary and truncated continuous. Bridge functions are provided to connect Kendall's tau to latent correlation under the Gaussian copula model. The methods are described in Yoon, Carroll and Gaynanova (2020) <doi:10.1093/biomet/asaa007> and Yoon, Mueller and Gaynanova (2021) <doi:10.1080/10618600.2021.1882468>.
README.md
mixedCCA: sparse CCA for data of mixed types
The R package mixedCCA
implements sparse canonical correlation analysis for data of mixed types: continuous, binary or zero-inflated (truncated continuous). The corresponding reference is
The faster version of latent correlation computation part is now fully available and implemented to the R package mixedCCA
. The corresponding reference is available on arXiv:
Yoon G., Müller C.L. and Gaynanova I., “Fast computation of latent correlations” JCGS.
Installation
devtools::install_github("irinagain/mixedCCA")
Example
library(mixedCCA)
### Simple example
# Data setting
n <- 100; p1 <- 15; p2 <- 10 # sample size and dimensions for two datasets.
maxcancor <- 0.9 # true canonical correlation
# Correlation structure within each data set
set.seed(0)
perm1 <- sample(1:p1, size = p1);
Sigma1 <- autocor(p1, 0.7)[perm1, perm1]
blockind <- sample(1:3, size = p2, replace = TRUE);
Sigma2 <- blockcor(blockind, 0.7)
mu <- rbinom(p1+p2, 1, 0.5)
# true variable indices for each dataset
trueidx1 <- c(rep(1, 3), rep(0, p1-3))
trueidx2 <- c(rep(1, 2), rep(0, p2-2))
# Data generation
simdata <- GenerateData(n=n, trueidx1 = trueidx1, trueidx2 = trueidx2, maxcancor = maxcancor,
Sigma1 = Sigma1, Sigma2 = Sigma2,
copula1 = "exp", copula2 = "cube",
muZ = mu,
type1 = "trunc", type2 = "trunc",
c1 = rep(1, p1), c2 = rep(0, p2)
)
X1 <- simdata$X1
X2 <- simdata$X2
# Sparse semiparametric CCA with BIC1 criterion
mixedCCAresult <- mixedCCA(X1, X2, type1 = "trunc", type2 = "trunc", BICtype = 1)
mixedCCAresult$KendallR # estimated latent correlation matrix
mixedCCAresult$w1 # estimated canonical vector for X1
mixedCCAresult$w2 # estimated canonical vector for X2
mixedCCAresult$cancor # estimated canonical correlation
# Separate estimation of latent correlation matrix
estimateR(X1, type = "trunc")$R # For X1 only
estimateR_mixed(X1, X2, type1 = "trunc", type2 = "trunc")$R12 # For X = (X1, X2)