Added some criteria from Tencate et al. (2016)

src/Ting.jl

@@ -30,6 +30,7 @@ export TRLooCVUpdateNaive
 export TRLooCVUpdateExperimental
 
 # From "variousRegressionFunctions.jl"
+export cVals
 export calculateRMSE
 export oldRegCoeffs
 export PCR

src/variousRegressionFunctions.jl

@@ -1,3 +1,34 @@
+"""
+crit1minInd, crit2minInd, CvalCrit1, CvalCrit2 = function cVals(bcoeffs, rmsecv)
+Crit1 = 'norm(regcoeffs) + cverror'
+Crit2 = 'jaggedness(regcoeffs) + cverror'
+bcoeffs = matrix with bcoeffs
+"""
+function cVals(bcoeffs, rmse)
+
+# Finding min and max of quantities used in criteria
+bminnorm    = norm(bcoeffs[2:end,end]); 
+bmaxnorm    = norm(bcoeffs[2:end,1]); 
+rmsecvmin   = minimum(rmse);
+rmsecvmax   = maximum(rmse);
+bjaggedness = [norm([bcoeffs[2:end,i] - bcoeffs[1:end-1,1]]) for i=1:size(bcoeffs,2)];
+bjagmin     = minimum(bjaggedness);
+bjagmax     = maximum(bjaggedness);
+
+# Calculating the quantities used in the criteria
+CvalNorm = [((norm(bcoeffs[2:end,i]) - bminnorm) / (bmaxnorm - bminnorm)) for i=1:size(bcoeffs,2)];
+Cvalrmse = [((rmse[i] - rmsecvmin) / (rmsecvmax - rmsecvmin)) for i=1:length(rmse)];
+CvalJagged = [((bjaggedness[i] - bjagmin)/(bjagmax-bjagmin)) for i=1:length(bjaggedness)];
+
+# Calculating the criteria as well as argmins
+CvalCrit1   = CvalNorm + Cvalrmse;
+CvalCrit2   = CvalJagged + Cvalrmse;
+crit1minInd = argmin(CvalCrit1);
+crit2minInd = argmin(CvalCrit2);
+    
+return crit1minInd, crit2minInd, CvalCrit1, CvalCrit2
+end
+
 """
 function rmse, ypred = calculateRMSE(X, y, beta)