[R] Error Running Bootstrap Function within Wrapper Function

[Stephen Ellison]

Kevin,

I didn't have the data set (you might want to post a link to a downloadable file instead), but on a quick look at the code your foo1 function looks as if it is not guaranteed to return an array of the same length each time. It's testing for nonzero coefs in a fitted model and then dropping exact zero coefs. That need not (and often will not) return the same coefficients every time in a simulation.  foo2 does the same general kind of thing. 

Could that be part of the problem?

S Ellison


> -----Original Message-----
> From: R-help <r-help-bounces using r-project.org> On Behalf Of Kevin Egan
> Sent: 05 January 2021 12:26
> To: r-help <r-help using r-project.org>
> Subject: [R] Error Running Bootstrap Function within Wrapper Function
> 
> ===============
>  EXTERNAL EMAIL
> ===============
> 
> Hello,
> 
> I am currently trying to solve a problem with the boot package and writing a
> function within a function in R. I have developed several functions to
> perform the lasso but continue to receive an error when bootstrapping these
> functions within a wrapper function. When I perform these methods using
> tsboot outside the wrapper function, I do not get an error. However, when
> placed within my function I continue to get the error "Error in t[r, ] <- res[[r]]
> : number of items to replace is not a multiple of length."
> 
> I've attached an example of my functions as well as a data file of the data I
> am using. I'm sorry the file is so large, but I do not get a problem with a
> smaller number of observations.
> 
> 
> library(boot)
> library(glmnet)
> library(np)
> foo1 <- function(data,index){ #index is the bootstrap sample index
>   x <- data[index, -1] %>%
>     as.matrix() %>%
>     unname()
>   y <- data[index, 1] %>%
>     scale(center = TRUE, scale = FALSE) %>%
>     as.matrix() %>%
>     unname()
>   ols <- lm(y ~ x)
>   # The intercept estimate should be dropped.
>   ols.coef <- as.numeric(coef(ols))[-1]
>   ols.coef[is.na(ols.coef)] <- 0
>   ## The intercept estimate should be dropped.
>   lasso <- cv.glmnet(x, y, alpha = 1,
>                      penalty.factor = 1 / abs(ols.coef))
>   # Select nonzero coefficients from bic.out
>   coef <- as.vector(coef(lasso,
>                          s = lasso$lambda.min))[-1]
>   return(coef)
> }
> foo2 <- function(data, index){ #index is the bootstrap sample index
>   x <- data[index, -1] %>%
>     as.matrix() %>%
>     unname()
>   y <- data[index, 1] %>%
>     scale(center = TRUE, scale = FALSE) %>%
>     as.matrix() %>%
>     unname()
>   # ic.glmnet provides coefficients with lowest BIC
>   ols <- lm(y ~ x)
>   # The intercept estimate should be dropped.
>   ols.coef <- as.numeric(coef(ols))[-1]
>   ols.coef[is.na(ols.coef)] <- 0
>   lasso <- cv.glmnet(x, y, alpha = 1,
>                      penalty.factor = 1 / abs(ols.coef))
>   # Select nonzero coefficients from bic.out
>   coef <- as.vector(coef(lasso,
>                          s = lasso$lambda.min))[-1]
>   coef_nonzero <- coef != 0
>   if(sum(coef_nonzero) > 0) {
>     ls_obj <- lm(y ~ x[, coef_nonzero, drop = FALSE])
>     ls_coef <- as.vector(coef(ls_obj))[-1]
>     coef[coef_nonzero] <- ls_coef
>   }
>   return(coef)
> }
> foo3 <- function(data, num_samples) {
>   bstar <- b.star(data[, 1], round = TRUE)
>   # Select Block Length of circular block result
>   blocklength <- bstar[, 2]
>   init_boot_ts <- tsboot(tseries = data,
>                          statistic = foo1,
>                          R = num_samples, l = blocklength,
>                          sim = "fixed")
>   final_boot_ts <- tsboot(tseries = data,
>                           statistic = foo2,
>                           R = num_samples,
>                           l = blocklength, sim = "fixed")
>   # point estimates
>   final_boot_t0 <- final_boot_ts$t0
>   return(list(point_estimates = final_boot_t0)) } num_samples <- 50
> test.foo3 <- foo3(data, num_samples = num_samples)
> 
> Which *sometimes *works, however, sometimes I get the error: “Error in t[r,
> ] <- res[[r]] : number of items to replace is not a multiple of length".
> I've also gotten the error "Error in x[, coef_nonzero, drop = FALSE]
> :(subscript) logical subscript too long" at times, when running foo2 within
> foo3. Which seems to be unclear as there should never be an index which is
> greater than the number of columns in x.
> As I stated, this error particularly occurs when I increase the number of
> bootstrap samples I try to run, and only when I run foo3. When I run foo1
> and foo2 separately, I don’t get an error at all. I’m wondering if there is
> something I need to add to my function “foo3” to ensure that an error like
> this doesn’t occur since I am calling several other functions within this
> function, ie., tsboot, foo1, and foo2.
> 
> Lastly, although I have not provided an example here, I get an error for this
> code when running with lapply for several dataframes similar to the
> attached.
> 
> Again, I apologise for attaching such a large data frame but the function
> seems to work with fewer observations. Perhaps it is a data issue?
> 
> Thanks
> ______________________________________________
> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-
> guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 
> ==========================================================
> ====================================
> WARNING - EXTERNAL: This email originated from outside of LGC. Do not click
> any links or open any attachments unless you trust the sender and know that
> the content is safe
> ==========================================================
> ====================================


*******************************************************************
This email and any attachments are confidential. Any use, copying or
disclosure other than by the intended recipient is unauthorised. If 
you have received this message in error, please notify the sender 
immediately via +44(0)20 8943 7000 or notify postmaster using lgcgroup.com 
and delete this message and any copies from your computer and network. 
LGC Limited. Registered in England 2991879. 
Registered office: Queens Road, Teddington, Middlesex, TW11 0LY, UK