kernelboot: Smoothed bootstrap

Description Usage Arguments Details References See Also Examples

View source: R/kernelboot.R

Description

Smoothed bootstrap is an extension of standard bootstrap using kernel densities.

Usage

1
2
3
4
5
kernelboot(data, statistic, R = 500L, bw = "default",
  kernel = c("multivariate", "gaussian", "epanechnikov", "rectangular",
  "triangular", "biweight", "cosine", "optcosine", "none"), weights = NULL,
  adjust = 1, shrinked = TRUE, ignore = NULL, parallel = FALSE,
  workers = availableCores())

Arguments

data

vector, matrix, or data.frame. For non-numeric values standard bootstrap is applied (see below).

statistic

a function that is applied to the data. The first argument of the function will always be the original data.

R

the number of bootstrap replicates.

bw

the smoothing bandwidth to be used (see density). The kernels are scaled such that this is the standard deviation, or covariance matrix of the smoothing kernel. By default bw.nrd0 is used for univariate data, and bw.silv is used for multivariate data. When using kernel = "multivariate" this parameter should be a covariance matrix of the smoothing kernel.

kernel

a character string giving the smoothing kernel to be used. This must partially match one of "multivariate", "gaussian", "rectangular", "triangular", "epanechnikov", "biweight", "cosine", "optcosine", or "none" with default "multivariate", and may be abbreviated. Using kernel = "multivariate" forces multivariate Gaussian kernel (or univariate Gaussian for univariate data). Using kernel = "none" forces using standard bootstrap (no kernel smoothing).

weights

vector of importance weights. It should have as many elements as there are observations in data. It defaults to uniform weights.

adjust

scalar; the bandwidth used is actually adjust*bw. This makes it easy to specify values like 'half the default' bandwidth.

shrinked

logical; if TRUE random generation algorithm preserves means and variances of the variables. This parameter is ignored for "multivariate" kernel.

ignore

vector of names of columns to be ignored during the smoothing phase of bootstrap procedure (their values are not altered using random noise).

parallel

if TRUE, parallel computing is used (see future_lapply). Warning: using parallel computing does not necessary have to lead to improved performance.

workers

the number of workers used for parallel computing (see multiprocess). By default this is automatically determined using the availableCores function.

Details

Smoothed bootstrap is an extension of standard bootstrap procedure, where instead of drawing samples with replacement from the empirical distribution, they are drawn from kernel density estimate of the distribution.

For smoothed bootstrap, points (in univariate case), or rows (in multivariate case), are drawn with replacement, to obtain samples of size n from the initial dataset of size n, as with standard bootstrap. Next, random noise from kernel density K is added to each of the drawn values. The procedure is repeated R times and statistic is evaluated on each of the samples.

The noise is added only to the numeric columns, while non-numeric columns (e.g. character, factor, logical) are not altered. What follows, to the non-numeric columns and columns listed in ignore parameter standard bootstrap procedure is applied.

Univariate kernel densities

Univariate kernel density estimator is defined as

f(x) = sum[i](w[i] * Kh(x-y[i]))

where w is a vector of weights such that all w[i] ≥ 0 and sum(w) = 1 (by default uniform 1/n weights are used), Kh = K(x/h)/h is kernel K parametrized by bandwidth h and y is a vector of data points used for estimating the kernel density.

To draw samples from univariate kernel density, the following procedure can be applied (Silverman, 1986):

Step 1 Sample i uniformly with replacement from 1,…,n.

Step 2 Generate ε to have probability density K.

Step 3 Set x = y[i] + hε.

If samples are required to have the same variance as data (i.e. shrinked = TRUE), then Step 3 is modified as following:

Step 3' x = m + (y[i] - m + hε)/sqrt(1 + h^2 var(K)/var(y))

where var(K) is variance of the kernel (fixed to 1 for kernels used in this package).

When shrinkage described in Step 3' is applied, the smoothed bootstrap density function changes it's form to

fb(x) = (1+r) f(x + r (x-mean(y)))

where r = sqrt(1 + h^2 var(K)/var(y)) - 1.

This package offers the following univariate kernels:

Gaussian 1/sqrt(2π) exp(-(u^2)/2)
Rectangular 1/2
Triangular 1 - |u|
Epanchenikov 3/4 (1 - u^2)
Biweight 15/16 (1 - u^2)^2
Cosine 1/2 (1 + cos(π u))
Optcosine π/4 cos(π/2 u)

All the kernels are re-scalled so that their standard deviations are equal to 1, so that bandwidth parameter controls their standard deviations.

Random generation from Epanchenikov kernel is done using algorithm described by Devroye (1986). For optcosine kernel inverse transform sampling is used. For biweight kernel random values are drawn from Beta(3, 3) distribution and Beta(3.3575, 3.3575) distribution serves as a close approximation of cosine kernel. Random generation for triangular kernel is done by taking difference of two i.i.d. uniform random variates. To sample from rectangular and Gaussian kernels standard random generation algorithms are used (see runif and rnorm).

Product kernel densities

Univariate kernels may easily be extended to multiple dimensions by using product kernel

f(x) = sum[i](w[i] * prod[j]( Kh[j](x[i]-y[i,j) ))

where w is a vector of weights such that all w[i] ≥ 0 and sum(w) = 1 (by default uniform 1/n weights are used), and Kh[j] are univariate kernels K parametrized by bandwidth h[j], where y is a matrix of data points used for estimating the kernel density.

Random generation from product kernel is done by drawing with replacement rows of y, and then adding to the sampled values random noise from univariate kernels K, parametrized by corresponding bandwidth parameters h[j].

Multivariate kernel densities

Multivariate kernel density estimator may also be defined in terms of multivariate kernels KH (e.g. multivariate normal distribution, as in this package)

f(x) = sum[i](w[i] * KH(x-y[i]))

where w is a vector of weights such that all w[i] ≥ 0 and sum(w) = 1 (by default uniform 1/n weights are used), KH is kernel K parametrized by bandwidth matrix H and y is a matrix of data points used for estimating the kernel density.

Notice: When using multivariate normal (Gaussian) distribution as a kernel K, the bandwidth parameter H is a covariance matrix as compared to standard deviations used in univariate and product kernels.

Random generation from multivariate kernel is done by drawing with replacement rows of y, and then adding to the sampled values random noise from multivariate normal distribution centered at the data points and parametrized by corresponding bandwidth matrix H. For further details see rmvg.

References

Silverman, B. W. (1986). Density estimation for statistics and data analysis. Chapman and Hall/CRC.

Scott, D. W. (1992). Multivariate density estimation: theory, practice, and visualization. John Wiley & Sons.

Efron, B. (1981). Nonparametric estimates of standard error: the jackknife, the bootstrap and other methods. Biometrika, 589-599.

Hall, P., DiCiccio, T.J. and Romano, J.P. (1989). On smoothing and the bootstrap. The Annals of Statistics, 692-704.

Silverman, B.W. and Young, G.A. (1987). The bootstrap: To smooth or not to smooth? Biometrika, 469-479.

Scott, D.W. (1992). Multivariate density estimation: theory, practice, and visualization. John Wiley & Sons.

Wang, S. (1995). Optimizing the smoothed bootstrap. Annals of the Institute of Statistical Mathematics, 47(1), 65-80.

Young, G.A. (1990). Alternative smoothed bootstraps. Journal of the Royal Statistical Society. Series B (Methodological), 477-484.

De Angelis, D. and Young, G.A. (1992). Smoothing the bootstrap. International Statistical Review/Revue Internationale de Statistique, 45-56.

Polansky, A.M. and Schucany, W. (1997). Kernel smoothing to improve bootstrap confidence intervals. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 59(4), 821-838.

Devroye, L. (1986). Non-uniform random variate generation. New York: Springer-Verlag.

Parzen, E. (1962). On estimation of a probability density function and mode. The annals of mathematical statistics, 33(3), 1065-1076.

Silverman, B.W. and Young, G.A. (1987). The bootstrap: To smooth or not to smooth? Biometrika, 469-479.

Jones, M.C. (1991). On correcting for variance inflation in kernel density estimation. Computational Statistics & Data Analysis, 11, 3-15.

See Also

bw.silv, density, bandwidth, kernelboot-class

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
set.seed(1)

# smooth bootstrap of parameters of linear regression

b1 <- kernelboot(mtcars, function(data) coef(lm(mpg ~ drat + wt, data = data)) , R = 250)
b1
summary(b1)

b2 <- kernelboot(mtcars, function(data) coef(lm(mpg ~ drat + wt, data = data)) , R = 250,
                 kernel = "epanechnikov")
b2
summary(b2)

# smooth bootstrap of parameters of linear regression
# smoothing phase is not applied to "am" and "cyl" variables

b3 <- kernelboot(mtcars, function(data) coef(lm(mpg ~ drat + wt + am + cyl, data = data)) , R = 250,
                 ignore = c("am", "cyl"))
b3
summary(b3)

# standard bootstrap (without kernel smoothing)

b4 <- kernelboot(mtcars, function(data) coef(lm(mpg ~ drat + wt + am + cyl, data = data)) , R = 250,
                 ignore = colnames(mtcars))
b4
summary(b4)

# smooth bootstrap for median of univariate data

b5 <- kernelboot(mtcars$mpg, function(data) median(data) , R = 250)
b5
summary(b5)

twolodzko/kernelboot documentation built on Oct. 23, 2018, 9:23 p.m.