pmreg: Piecewise monotone regression with taut strings

In ftnonpar: Features and Strings for Nonparametric Regression

Description

Applies the taut string method to one-dimensional data.

Usage

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 [e-mail]

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

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

Example output

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