From 600805641219816e0239ea347ef25aaefaccbf80 Mon Sep 17 00:00:00 2001
From: Joakim Skogholt <onlinereg@skogholt.xyz>
Date: Sat, 18 May 2024 15:07:39 +0200
Subject: [PATCH] Added CV function for old reg coeffs

---
 src/Ting.jl                       |  1 +
 src/variousRegressionFunctions.jl | 27 +++++++++++++++++++++++++++
 2 files changed, 28 insertions(+)

diff --git a/src/Ting.jl b/src/Ting.jl
index 0d5fe0f..daff2c0 100644
--- a/src/Ting.jl
+++ b/src/Ting.jl
@@ -31,6 +31,7 @@ export TRSegCVNaive
 export TRSegCVFair
 
 # From "variousRegressionFunctions.jl"
+export oldRegCoeffs
 export PCR
 export bidiag2
 
diff --git a/src/variousRegressionFunctions.jl b/src/variousRegressionFunctions.jl
index 29032a8..253770d 100644
--- a/src/variousRegressionFunctions.jl
+++ b/src/variousRegressionFunctions.jl
@@ -2,7 +2,34 @@
 
 
 
+"""
+    function oldRegCoeffs(X, y, cvfolds, ncomps, regFunction=bidiag2)
 
+Calculates "old" regression coefficients using CV and the 1 S.E. rule.
+"""
+function oldRegCoeffs(X, y, cvfolds, ncomps, regFunction=bidiag2) # bidiag2 OR PCR
+    cverror = zeros(20,1);
+
+    for i=1:length(unique(cvfolds))
+        Xtrain = X[vec(i .!= cvfolds), :];
+        ytrain = y[vec(i .!= cvfolds), :];
+        Xtest  = X[vec(i .== cvfolds), :];
+        ytest  = y[vec(i .== cvfolds), :];
+
+        betas, _ = regFunction(Xtrain, ytrain, ncomps)
+        cverror += sum((ytest .- Xtest*betas[2:end,:] .- betas[1,:]').^2, dims=1)';
+    end
+
+    cverror = cverror ./ n
+    #rmsecv = sqrt.(rmsecv ./ size(X, 1))
+    #minInd = argmin(rmsecv)[1]
+    regCoeffsInds = findfirst(cverror .< (minimum(cverror) + std(cverror)/sqrt(length(unique(cvfolds)))))[1] # 1 S.E. rule
+    
+    betas, _ = regFunction(X, y, ncomps)
+    bold = betas[2:end, regCoeffsInds]
+    
+    return bold, regCoeffsInds, cverror
+end
 
 """
     function PCR(X, y, kmax, centre=true)#, standardize=true)