View source: R/l2e_regression_convex_MM.R
l2e_regression_convex_MM | R Documentation |
l2e_regression_convex_MM
performs L2E convex regression via block coordinate descent
with MM for updating beta and modified Newton for updating tau.
l2e_regression_convex_MM( y, beta, tau, max_iter = 100, tol = 1e-04, Show.Time = TRUE )
y |
response |
beta |
initial vector of regression coefficients |
tau |
initial precision estimate |
max_iter |
maximum number of iterations |
tol |
relative tolerance |
Show.Time |
Report the computing time |
Returns a list object containing the estimates for beta (vector) and tau (scalar), the number of outer block descent iterations until convergence (scalar), and the number of inner iterations per outer iteration for updating beta and eta (vectors)
set.seed(12345) n <- 200 tau <- 1 x <- seq(-2, 2, length.out=n) f <- x^4 + x y <- f + (1/tau)*rnorm(n) ## Clean plot(x, y, pch=16, cex.lab=1.5, cex.axis=1.5, cex.sub=1.5, col='gray') lines(x, f, lwd=3) tau <- 1 b <- y sol <- l2e_regression_convex_MM(y, b, tau) plot(x, y, pch=16, cex.lab=1.5, cex.axis=1.5, cex.sub=1.5, col='gray') lines(x, f, lwd=3) cvx <- fitted(cobs::conreg(y, convex=TRUE)) lines(x, cvx, col='blue', lwd=3) lines(x, sol$beta, col='red', lwd=3) ## Contaminated ix <- 0:9 y[45 + ix] <- 14 + rnorm(10) plot(x, y, pch=16, cex.lab=1.5, cex.axis=1.5, cex.sub=1.5, col='gray') lines(x, f, lwd=3) tau <- 1 b <- y sol <- l2e_regression_convex_MM(y, b, tau) plot(x, y, pch=16, cex.lab=1.5, cex.axis=1.5, cex.sub=1.5, col='gray') lines(x, f, lwd=3) cvx <- fitted(cobs::conreg(y, convex=TRUE)) lines(x, cvx, col='blue', lwd=3) lines(x, sol$beta, col='red', lwd=3)
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