qbsks: Quantile B-Spline with Fixed Knots

In cobs99: Constrained B-splines -- outdated 1999 version

Description

Compute B-spline coefficients for regression quantile B-spline with stepwise knots selection and quantile B-spline with fixed knots regression spline, using Ng (1996)'s algorithm.

Usage

qbsks(x,y,w,pw, knots,nknots, degree,Tlambda, constraint,
      n.sub = n1000cut(n), equal,smaller, greater,gradient, coef,maxiter,
      trace, n.equal,n.smaller,n.greater,n.gradient,
      nrq,nl1, neqc, nj0, tau,lam,tmin,kmax,lstart,
      ks,mk.flag, knots.add, ic, print.mesg,
      factor, tol.kn = 1e-6, eps = .Machine$double.eps, print.warn)

Arguments

x	numeric vector, sorted increasingly, the abscissa values
y	numeric, same length as x, the observations.
w	numeric vector of weights, same length as x, as in cobs.
pw	penalty weights vector ... ...

knots	numeric vector of knots of which nknots will be used.
nknots	number of knots to be used.

degree	integer specifying polynomial degree; must be 1 or 2.
Tlambda	(vector of) smoothing parameter(s) λ, see drqssbc.
constraint	string (or empty) specifying the global constraints; see cobs.
n.sub	integer, not larger than sample size n; the default has n.sub == n as long as n is less than 1000.
equal,smaller,greater,gradient	optional constraint specifications; simply passed to drqssbc.
coef,maxiter,trace	simply passed to drqssbc.
n.equal, n.smaller, n.greater, n.gradient	simply passed to drqssbc.
nrq,nl1,neqc	integers specifying dimensionalities, directly passed to drqssbc, see there.
nj0	passed to drqssbc, see there.
tau	desired quantile level (in interval (0,1)).
lam,tmin,kmax,lstart	passed to drqssbc, see there.
ks	(seems unused)
mk.flag	logical; if true, perform first step knots selection.
knots.add	logical, see cobs.
ic	information criterion to use, see cobs.
print.mesg	an integer indicating how qbsks2() should print message about its current stages.
factor	passed to drqssbc, see there.
tol.kn	“tolerance” for shifting the outer knots.
eps	tolerance passed to drqssbc.
print.warn	flag indicating if and how much warnings and information is to be printed; currently just passed to drqssbc.

Details

This is an auxiliary function for cobs(*, lambda = 0), possibly interesting on its own. This documentation is currently sparse; read the source code!

Value

a list with components

coef	..
fidel	..
k	dimensionality of model fit.
ifl	integer “flag”; the return code.
icyc	integer of length 2, see cobs.
knots	the vector of inner knots.
nknots	the number of inner knots.
nvar	the number of “variables”, i.e. unknowns including constraints.
lambda	the penalty factor, chosen or given.
pseudo.x	the pseudo design matrix X, as returned from drqssbc.

Author(s)

Pin Ng; this help page: Martin Maechler.

References

Ng, P. (1996) An Algorithm for Quantile Smoothing Splines, Computational Statistics \& Data Analysis 22, 99–118.

See Also

the main function cobs; further drqssbc which is called from qbsks().

cobs99 documentation built on May 2, 2019, 6:12 p.m.