histSmo: Density estimation using the Poisson trick

In gamlss: Generalized Additive Models for Location Scale and Shape

Density estimation using the Poisson trick

Description

This set of functions use the old Poisson trick of discretising the data and then fitting a Poisson error model to the resulting frequencies (Lindsey, 1997). Here the model fitted is a smooth cubic spline curve. The result is a density estimator for the data.

Usage

histSmo(y, lambda = NULL, df = NULL, order = 3, lower = NULL,  
       upper = NULL, type = c("freq", "prob"), 
       plot = FALSE, breaks = NULL,  
       discrete = FALSE, ...)
histSmoC(y, df = 10, lower = NULL, upper = NULL, type = c("freq", "prob"), 
       plot = FALSE, breaks = NULL,  
       discrete = FALSE, ...)
histSmoO(y, lambda = 1, order = 3, lower = NULL, upper = NULL, 
      type = c("freq", "prob"), 
      plot = FALSE, breaks = NULL,  
      discrete = FALSE, ...)
histSmoP(y, lambda = NULL, df = NULL, order = 3, lower = NULL, 
      upper = NULL, type = c("freq", "prob"), 
      plot = FALSE, breaks = NULL,  discrete = FALSE, 
      ...) 

Arguments

y	the variable of interest
lambda	the smoothing parameter
df	the degrees of freedom
order	the order of the P-spline
lower	the lower limit of the y-variable
upper	the upper limit of the y-variable
type	the type of histogram
plot	whether to plot the resulting density estimator
breaks	the number of break points to be used in the histogram and consequently the number of observations in the Poisson fit
discrete	whether to treat the fitting density as a discrete distribution or not
...	further arguments passed to or from other methods.

Details

Here are the methods used here:

i) The function histSmoO() uses Penalised discrete splines (Eilers, 2003). This function is appropriate when the smoothing parameter is fixed.

ii) The function histSmoC() uses smooth cubic splines and fits a Poison error model to the frequencies using the cs() additive function of GAMLSS. This function is appropriate if the effective degrees of freedom are fixed in the model.

iii) The function histSmoP() uses Penalised cubic splines (Eilers and Marx 1996). It is fitting a Poisson model to the frequencies using the pb() additive function of GAMLSS. This function is appropriate if automatic selection of the smoothing parameter is required.

iv) The function histSmo() combines all the above functions in the sense that if lambda is fixed it uses histSmoO(), if the degrees of freedom are fixed it uses histSmoC() and if none of these is specified it uses histSmoP().

Value

Returns a histSmo S3 object. The object has the following components:

x	the middle points of the discretise data
counts	how many observation are on the discretise intervals
density	the density value for each discrete interval
hist	the hist object used to discretise the data
cdf	The resulting cumulative distribution function useful for calculating probabilities from the estimate density
nvcdf	The inverse cumulative distribution function
model	The fitted Poisson model only for histSmoP() and histSmoC()

Author(s)

Mikis Stasinopoulos, Paul Eilers, Bob Rigby and Vlasios Voudouris

References

Eilers, P. (2003). A perfect smoother. Analytical Chemistry, 75: 3631-3636.

Eilers, P. H. C. and Marx, B. D. (1996). Flexible smoothing with B-splines and penalties (with comments and rejoinder). Statist. Sci, 11, 89-121.

Lindsey, J.K. (1997) Applying Generalized Linear Models. New York: Springer-Verlag. ISBN 0-387-98218-3

Rigby, R. A. and Stasinopoulos D. M. (2005). Generalized additive models for location, scale and shape,(with discussion), Appl. Statist., 54, part 3, pp 507-554.

Rigby, R. A., Stasinopoulos, D. M., Heller, G. Z., and De Bastiani, F. (2019) Distributions for modeling location, scale, and shape: Using GAMLSS in R, Chapman and Hall/CRC. An older version can be found in https://www.gamlss.com/.

Stasinopoulos D. M. Rigby R.A. (2007) Generalized additive models for location scale and shape (GAMLSS) in R. Journal of Statistical Software, Vol. 23, Issue 7, Dec 2007, https://www.jstatsoft.org/v23/i07/.

Stasinopoulos D. M., Rigby R.A., Heller G., Voudouris V., and De Bastiani F., (2017) Flexible Regression and Smoothing: Using GAMLSS in R, Chapman and Hall/CRC.

(see also https://www.gamlss.com/).

See Also

pb, cs

Examples

# creating data from Pareto 2 distribution
set.seed(153)
Y <- rPARETO2(1000) 
## Not run: 
# getting the density 
histSmo(Y, lower=0, plot=TRUE)
# more  breaks a bit slower
histSmo(Y, breaks=200, lower=0, plot=TRUE)
# quick fit using lambda
histSmoO(Y, lambda=1, breaks=200, lower=0, plot=TRUE)
# or 
histSmo(Y, lambda=1, breaks=200, lower=0, plot=TRUE)
# quick fit using df
histSmoC(Y, df=15, breaks=200, lower=0,plot=TRUE)
# or 
histSmo(Y, df=15, breaks=200, lower=0)
# saving results
m1<- histSmo(Y, lower=0, plot=T)
plot(m1)
plot(m1, "cdf")
plot(m1, "invcdf")
# using with a histogram
library(MASS)
truehist(Y)
lines(m1, col="red")
#---------------------------
# now gererate from SHASH distribution
YY <- rSHASH(1000)
m1<- histSmo(YY)
# calculate Pr(YY>10)
1-m1$cdf(10)
# calculate Pr(-10<YY<10)
1-(1-m1$cdf(10))-m1$cdf(-10)
#---------------------------
#   from discrete distribution
YYY <- rNBI(1000, mu=5, sigma=4)
histSmo(YYY, discrete=TRUE, plot=T)
#
YYY <- rPO(1000, mu=5)
histSmo(YYY, discrete=TRUE, plot=T)
#
YYY <- rNBI(1000, mu=5, sigma=.1)
histSmo(YYY, discrete=TRUE, plot=T)
# genarating from beta distribution
YYY <- rBE(1000, mu=.1, sigma=.3)
histSmo(YYY, lower=0, upper=1, plot=T)
# from trucated data
Y <- with(stylo, rep(word,freq))
histSmo(Y, lower=1, discrete=TRUE, plot=T)
histSmo(Y, lower=1, discrete=TRUE, plot=T, type="prob")
## End(Not run)

gamlss documentation built on May 29, 2024, 6:08 a.m.