ecpc: an R-package for generic co-data models for high-dimensional prediction.

Abstract

CONCLUSIONS

The R-package ecpc accommodates linear, generalised additive and shape constrained additive co-data models for the purpose of improved high-dimensional prediction and variable selection. The extended version of the package as presented here (version number 3.1.1 and higher) is available on ( https://cran.r-project.org/web/packages/ecpc/ ).

RESULTS

Here, we present an extension to the method and software for generic co-data models, particularly for continuous co-data. At the basis lies a classical linear regression model, regressing prior variance weights on the co-data. Co-data variables are then estimated with empirical Bayes moment estimation. After placing the estimation procedure in the classical regression framework, extension to generalised additive and shape constrained co-data models is straightforward. Besides, we show how ridge penalties may be transformed to elastic net penalties. In simulation studies we first compare various co-data models for continuous co-data from the extension to the original method. Secondly, we compare variable selection performance to other variable selection methods. The extension is faster than the original method and shows improved prediction and variable selection performance for non-linear co-data relations. Moreover, we demonstrate use of the package in several genomics examples throughout the paper.

BACKGROUND

High-dimensional prediction considers data with more variables than samples. Generic research goals are to find the best predictor or to select variables. Results may be improved by exploiting prior information in the form of co-data, providing complementary data not on the samples, but on the variables. We consider adaptive ridge penalised generalised linear and Cox models, in which the variable-specific ridge penalties are adapted to the co-data to give a priori more weight to more important variables. The R-package ecpc originally accommodated various and possibly multiple co-data sources, including categorical co-data, i.e. groups of variables, and continuous co-data. Continuous co-data, however, were handled by adaptive discretisation, potentially inefficiently modelling and losing information. As continuous co-data such as external p values or correlations often arise in practice, more generic co-data models are needed.