l1pmreg {ftnonpar}R Documentation

Piecewise monotone nonparameric quantile regression

Description

Applies the generalized taut string method to quantile regression.

Usage

quantpmreg(y, beta = 0.5, squeezing.factor = 0.5, verbose = F, localsqueezing = T, DYADIC = T, thr.const = 2, extrema.nr = -1, bandwidth = -1)
l1pmreg(y, squeezing.factor = 0.5, verbose = F, localsqueezing = T, DYADIC = T, thr.const = 2, extrema.nr = -1, bandwidth = -1)

Arguments

y observed values (ordered by value of independent variable)
beta quantile. The default is 0.5 which corresponds to the robust taut string.
squeezing.factor The amount of decrement applied to the bandwidthes
verbose logical, if T progress (for each iteration) is illustrated grahically
localsqueezing logical, if T (default) the bandwidth is changed locally.
DYADIC logical, if T (default) the multiresolution criterion is only verified on intervals with dyadic endpoints.
thr.const smoothing parameter for the multiresoultion criterion (should be approximately 2)
extrema.nr if set to a positive integer an approximation with the specified number of local extreme values is calculated
bandwidth if set to a positive value the specified bandwidth is used instead of the multiresolution criterion.

Value

A list with components

y The approximation of the given data
lambda The final values of lambda
nmax Number of local extreme values

Author(s)

Arne Kovac Arne.Kovac@uni-essen.de

References

D"umbgen, L. and Kovac, A. (2003) Extensions of smoothing via taut strings

See Also

pmreg,frun

Examples






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