Construction of regular and irregular histograms with different options for choosing the number and widths of the bins. By default, both a regular and an irregular histogram using a data-dependent penalty as described in detail in Rozenholc/Mildenberger/Gather (2009) are constructed. The final estimate is the one with the larger penalized likelihood.

1 2 3 4 |

`y` |
a vector of values for which the histogram is desired. |

`type` |
use |

`grid` |
if |

`breaks` |
controls the maximum number of bins allowed in a regular histogram, or the size of
the finest grid in an irregular histogram when |

`penalty` |
controls which penalty is used. See description of penalties below. |

`greedy` |
logical; if |

`right` |
logical; if |

`control` |
list of additional control parameters. Meaning and default values depend on settings of |

`verbose` |
logical; if |

`plot` |
logical. If |

The `histogram`

procedure produces a histogram, i.e. a piecewise constant density estimate
from a univariate real-valued sample stored in a vector `y`

. Let *n* denote the length of `y`

.
The range of the data is partitioned into *D* intervals - called bins - and the density estimate on the *i*-th bin is
given by *N_i/(n*w_i)* where *N_i* is the number of observations in the *i*-th bin and *w_i* is its width. The histogram thus defined is the maximum likelihood estimate among all densities that are piecewise constant w.r.t. this partition.
The arguments of `histogram`

given above determine the way the partition is chosen. In a regular histogram, the partition
consists of *D* bins of the same widths, and the histogram is determined by the choice of *D*. Strategies based on different
criteria can be chosen using the `penalty`

option. The maximum number of bins can be controlled by either the `breaks`

argument or the entries `g1`

, `g2`

and `g3`

in the `control`

argument.

An irregular histogram allows for bins of different widths. In this case, not only the number *D* of bins but also the breakpoints
between the bins must be chosen. The set of allowed breakpoints is given by the finest partition selected using the `grid`

argument.
At the moment a finest regular grid is supported (`grid="regular"`

) as well as grids with possible breakpoints either equal
to the observations or between the observations (`grid="data"`

and `between`

in the `control`

argument set to
`FALSE`

or `TRUE`

, respectively). Setting `grid="quantiles"`

gives a grid based on regular sample quantiles.
If the `breaks`

argument is `NULL`

,

*G(n)=g1*n^{g2}*(\log(n))^{g3}*

controls the grid in the following way: the smallest
allowed bin width in a `"data"`

grid is *1/G(n)* times the sample range, while for `grid="regular"`

and
`grid="quantiles"`

the finest grid has `floor(G(n))`

bins. The parameters `g1`

, `g2`

and `g3`

can be changed by modifying the corresponding components in the `control`

argument. If `breaks`

is a positive number,
its integer part is used instead of `G(n)`

. Different strategies for selection of *D*
and the bin boundaries can be chosen using the `penalty`

option.

To reduce calculation time for irregular histograms, a subset of the breakpoints of the finest grid can be chosen by starting
from a one-bin histogram and then subsequently finding the split of an existing bin that leads to the largest increase in the
loglikelihood. The full optimization is then performed only over all partitions with endpoints from the subset
thus constructed. This is achieved by setting `greedy=TRUE`

. To reduce calculation time for regular histograms, the `maxbin`

parameter in the `control`

argument gives an upper bound for the number of bins. The default value is 1000.

Using `type="combined"`

(the default value), both a regular and an irregular histogram are constructed using a penalized likelihood approach
and the one with the larger penalized likelihood is chosen. In this case, the regular histogram is always constructed using the `br`

penalty.
The `penalty`

parameter and all other options control the construction of the irregular histogram. `penalty`

must be equal to `"penA"`

, `"penB"`

or `"penR"`

, since otherwise
comparison of penalized likelihood values would not be meaningful.

an object of class "histogram" which is a list with the same components as in the `hist`

command.

Most settings of `penalty`

lead to a penalized maximum likelihood histogram. For a sample of size *n*
and a partition *J* that divides the sample range into *D* bins, define *N_i* as the number of observations in the *i*-th bin,
*i=1,...,D* and *w_i* as the width of the the *i*-th bin, *i=1,...,D*. In this section,
the index in sums and products is always *i=1,…,D*. For any partition *J*,
and a fixed sample, the penalized loglikelihood is defined as

*∑ N_i * \log(N_i/(n * w_i))-pen(J).*

The possible penalties are:

`penA`

Penalty given in formula (5) in in Rozenholc, Mildenberger and Gather (2009):

*pen(J)=c \log {{n-1} \choose {D-1}} + α(D-1) + ck\log(D) + 2√{cα(D-1)(\log{{n-1} \choose {D-1}} +k \log D) } ,*where the default values are

*c=1*,*α=0.5*and*k=2*. These can be changed using the`c`

,`alpha`

and`k`

components of`control`

.`penB`

Simplified version of formula (5) in Rozenholc, Mildenberger and Gather (2009):

*pen(J)=c \log {{n-1} \choose {D-1}} + α(D-1) + \log^{2.5} D,*where the default values are

*c=1*and*α=1*. These can be changed using the`c`

and`alpha`

components of`control`

. Default penalty for irregular and combined histograms.`penR`

Data-dependent penalty as given in formula (6) in Rozenholc, Mildenberger and Gather (2009):

*pen(J)=c \log {{n-1} \choose {D-1}} + (α/n) ∑ N_i/w_i + \log^{2.5} D,*where the default values are

*c=1*and*α=0.5*. These can be changed using the`c`

and`alpha`

components of`control`

.`aic`

Akaike's Information Criterion (AIC). Defined by

*pen(J)=α*D*, where*α*is 1 by default and may be changed using the`alpha`

parameter in the`control`

argument.`bic`

Bayesian Information Criterion (BIC). Defined by

*pen(J)=α*\log(n)*D*, where*α*is 0.5 by default and may be changed using the`alpha`

parameter in the`control`

argument.`nml`

Normalized Maximum Likelihood. Formula is given in Davies, Gather, Nordman, Weinert (2009). Only available for regular histograms.

`br`

Improved version of AIC for regular histograms as given in Birge and Rozenholc (2006). Defined as

*pen(J)=D + \log^{2.5} (D)*. Default penalty for regular histograms, not available for irregular histograms.

Some settings of `penalty`

do not lead to maximization of a penalized likelihood but optimzation of different measures. These are:

`cv`

Leave-p-out crossvalidation. Different variants can be chosen by setting the

`cvformula`

and`p`

components in the`control`

argument.`cvformula=1`

and`cvformula=2`

are available both for regular and irregular histograms. These are different versions of leave-p-out L2-crossvalidation, where choice of a partition is achieved by minimizing*2∑ N_i/w_i - (n+1)∑ N_i^2/(n*w_i),*or

*2(n-p) ∑ N_i/w_i - (n-p+1) ∑ N_i^2/w_i*respectively, see formulas (11) and (12) in Celisse and Robin (2008). Since formula

`1`

does not depend on*p*, if the control parameter`p`

is set to a value greater than 1`cvformula`

is set to`2`

. Kullback-Leibler crossvalidation can be performed by setting`cvformula=3`

. This is only available if*p=1*and`type="regular"`

. The number of bins chosen is the maximizer of*∑ N_i \log(N_i-1) + n \log(D),*see remark 2.3 in Hall and Hannan (1988).

`sc`

Stochastic Complexity criterion, only available for regular histograms. Number of bins is chosen by maximizing

*∏ N_i! D^n(D-1)!/(D+n-1)!,*see formula (2.3) in Hall and Hannan (1988).

`mdl`

Minimum Description Length criterion, only available for regular histograms. Number of bins is chosen by maximizing

*∑ (N_i-0.5)\log(N_i-0.5)-(n-0.5D)\log(n-0.5D)+n\log D -0.5D \log n ,*see formula (2.5) in Hall and Hannan (1988).

The control parameter is a list with different components that affect the construction of the histogram. Meaning and default values depend on setting of the other parameters.

`alpha`

Coefficient of the number of bins in penalties

`penA`

,`penB`

,`aic`

,`bic`

. Coefficient of the data-driven part in the`penR`

penalty.`between`

logical; if

`TRUE`

and`grid="data"`

, possible bin ends are put between the observations, if`FALSE`

(default) they are placed at the observations`c`

Controls the weight of the penalty component that corrects for the multiplicity of partitions with the same number of bins in irregular histograms; only used in penalties

`penA`

,`penB`

and`penR`

.`cvformula`

determines the type of crossvalidation to be performed. Can take the values 1, 2 and 3. 1 and 2 correspond to different versions of L2 crossvalidation, while

`cvformula=3`

performs Kullback-Leibler crossvalidation, which is at the moment only available for regular histograms. Note that`cvformula=3`

automatically forces every bin to include at least 2 observations. If`p`

is set to a value greater than 1,`cvformula=2`

is used automatically.`g1`

The parameters

`g1`

,`g2`

and`g3`

control the maximum number of bins in a regular histogram as well as the bin width and/or number for irregular histograms. Define*G(n)=g1*n^{g2}*(\log(n))^{g3}.*The maximum number of bins allowed in a regular histogram is given by

`floor(G(n))`

, the finest grid in an irregular histogram with`grid="regular"`

is obtained by dividing the sample range into`floor(G(n))`

equisized bins, and if`grid="quantiles"`

, the finest grid is obtained by dividing the interval*[0,1]*into equisized intervals and using the sample quantiles corresponding to the boundary points. For an irregular histogram with`grid="data"`

, a mimimum allowed bin size of*1/G(n)*is enforced. This can be disabled by setting`g3`

to`Inf`

, causing*1/G(n)*to be zero. Default settings are`g1=1`

and`g2=1`

for all grids. Default values for`g3`

are`-1`

for`grid="regular"`

and`grid="quantiles"`

and`Inf`

for`grid="data"`

. Also see`maxbin`

.`g2`

see

`g1`

.`g3`

see

`g1`

.`k`

Tuning parameter that only has an effect if

`penalty="penA"`

. Default value is 2.`maxbin`

Gives an absolute upper bound on the number of bins in order to keep the calculations feasible for large data sets. If the number of bins chosen via

`breaks`

or`g1`

,`g2`

and`g3`

exceeds`maxbin`

,`maxbin`

in used as the maximum number of bins. Only has an effect for regular histograms. Defaults to 1000.`p`

Controls the number p of data points left out in the crossvalidation. Can take integer values between

`1`

(default) and`n-1`

. If a value greater than 1 is chosen,`cvformula`

is automatically set to 2 since crossvalidation formula 1 does not depend on p and Kullback-Leibler crossvalidation is only supported for`p=1`

.`quanttype`

Determines the way the quantiles are calculated if

`grid="quantiles"`

. Corresponds to the`type`

argument in`quantile`

, whose default`7`

is also the default here.

Thoralf Mildenberger, Yves Rozenholc, David Zasada.

Birgé, L. and Rozenholc, Y. (2006). How many bins should be put in a regular histogram? ESAIM: Probability and Statistics, 10, 24-45.

Celisse, A. and Robin, S. (2008). Nonparametric density estimation by exact leave-p-out cross-validation. Computational Statistics and Data Analysis 52, 2350-2368.

Davies, P. L., Gather, U., Nordman, D. J., and Weinert, H. (2009): A comparison of automatic histogram constructions. ESAIM: Probability and Statistics, 13, 181-196.

Hall, P. and Hannan, E. J. (1988). On stochastic complexity and nonparametric density estimation. Biometrika 75, 705-714.

Rozenholc, Y, Mildenberger, T. and Gather, U. (2009). Combining regular and irregular histograms by penalized likelihood. Discussion Paper 31/2009, SFB 823, TU Dortmund. http://www.statistik.tu-dortmund.de/fileadmin/user_upload/SFB_823/discussion_papers/2009/31_09_rozenholc_mildenberger_gather.pdf

Rozenholc, Y., Mildenberger, T., Gather, U. (2010). Combining regular and irregular histograms by penalized likelihood. Computational Statistics and Data Analysis 54, 3313-3323.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 | ```
## draw a histogram from a standard normal sample
y<-rnorm(100)
histogram(y)
## draw a histogram from a standard exponential sample
y<-rexp(1500)
histogram(y)
## draw a histogram from a normal mixture
n<-sum(sample(c(0,1),1000,replace=TRUE))
y<-c(rnorm(n,mean=5,sd=0.1),rnorm(1000-n))
histogram(y)
## the same using a regular histogram with Kullback-Leibler CV
n<-sum(sample(c(0,1),1000,replace=TRUE))
y<-c(rnorm(n,mean=5,sd=0.1),rnorm(1000-n))
histogram(y,type="regular",penalty="cv",control=list(cvformula=3))
``` |

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