pmreg: Piecewise monotone regression with taut strings

Description Usage Arguments Value Author(s) References See Also Examples

Description

Applies the taut string method to one-dimensional data.

Usage

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pmreg(y, thr.const=2.3, verbose=FALSE, extrema.nr=-1, bandwidth=-1, 
sigma=-1, localsqueezing=TRUE, squeezing.factor=0.5, tolerance=1e-08,
extrema.mean=TRUE,DYADIC=TRUE,dyad.factor=1.1,POSTISO=TRUE)

Arguments

y

observed values (ordered by value of independent variable)

thr.const

smoothing parameter for the multiresolution criterion (should be approximately 2.3)

verbose

logical, if T progress (for each iteration) is illustrated grahically

extrema.nr

if set to a positive integer an approximation with the specified number of local extreme values is calculated

bandwidth

if set to a positive value the specified bandwidth is used instead of the multiresolution criterion.

sigma

if set to a positive value sigma the standard deviation is set to sigma and not estimated from the data

localsqueezing

logical, if TRUE (default) the bandwidth is changed locally.

squeezing.factor

The amount of decrement applied to the bandwidthes

tolerance

Accuracy used for the determination of the bandwidth when extrema.nr is greater than 0.

extrema.mean

logical, if TRUE (default) the value of the taut string approximation at local extreme values is set to the mean of the observations on the interval where the extremum is taken.

DYADIC

If TRUE the multiresolution constraints are only checked on dyadic intervals.

dyad.factor

If the multiresolution constraints are checked on dyadic intervals, dyad.factor determines the ratio between the lengths of two subsequent level (default is 1.1).

POSTISO

If TRUE (default) any bias caused by local squeezing is removed by applying isotonic and isotonic regression between each two local extreme values.

Value

A list with components

y

The approximation of the given data

sigma

Standard deviation used

widthes

Bandwidth used

nmax

Number of local extreme values

knotsind

Indices of knot points

knotsy

y-koordinates of knots of the taut string

Author(s)

Arne Kovac A.Kovac@bristol.ac.uk

References

Davies, P. L. and Kovac, A. (2001) Local Extremes, Runs, Strings and Multiresolution (with discussion) Annals of Statistics. 29. p1-65

See Also

mintvmon,l1pmreg,pmden,pmspec

Examples

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data(djdata)
pmreg(djdoppler,verbose=TRUE)$n

Example output

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ftnonpar documentation built on May 2, 2019, 3:04 a.m.

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