drqssbc {cobs99}R Documentation

Regression Quantile Smoothing Spline with Constraints

Description

Estimate the B-spline coefficients for a regression quantile smoothing spline with optional constraints, using Ng(1996)'s algorithm.

Usage

drqssbc(x, y, w= rep(1,n), pw, knots, degree, Tlambda, constraint,
        n.sub = n1000cut(nrq),
        equal, smaller, greater, gradient, coef, maxiter = 20 * n,
        trace = 1,
        n.equal = nrow(equal), n.smaller = nrow(smaller),
        n.greater = nrow(greater), n.gradient = nrow(gradient),
        nrq = length(x), nl1, neqc, niqc, nvar, nj0,
        tau = 0.5, lam, tmin, kmax, lstart, factor,
        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 passed to l1.design or loo.design.
knots ~~Describe knots here~~
degree integer, must be 1 or 2.
Tlambda ~~Describe Tlambda here~~
constraint see cobs (but cannot be abbreviated here).
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 3-column matrices specifying the respective constraints. The has 0 zeros if there no constraints of the corresponding kind.
gradient 3-column matrix for gradient constraints.
coef numeric vector, the initial guess for the B-spline coefficients.
maxiter upper bound of the number of iteration; default to 20*n.
trace ~~Describe trace here~~
n.equal,n.smaller,n.greater,n.gradient ~~Describe n.gradient here~~
nrq ~~Describe nrq here~~
nl1 ~~Describe nl1 here~~
neqc integer giving the number of equations.
niqc integer giving the number of inequality constraints.
nvar integer giving the number of equations and constraints.
nj0 ~~Describe nj0 here~~
tau desired quantile level; defaults to 0.5 (median).
lam ~~Describe lam here~~
tmin ~~Describe tmin here~~
kmax ~~Describe kmax here~~
lstart number, see cobs.
factor number in [1,4], see cobs.
eps tolerance used in the fortran code in many different contexts.
print.warn logical indicating if warnings should be printed, when the algorithm seems to have behaved somewhat unexpectedly.

Details

This is an auxiliary function for cobs, possibly interesting on its own. This documentation is currently sparse; read the source code!

Value

a list with components

comp1 Description of `comp1'
comp2 Description of `comp2'

...

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 and its auxiliary qbsks which calls drqssbc() repeatedly.

Examples

set.seed(1243)
x  <- 1:32
fx <- (x-5)*(x-15)^2*(x-21)
y  <- fx + round(rnorm(x,s = 0.25),2)
## FAILS  drqssbc(x,y,nrq=32,lam=1,degree=1,knots=c(1,5,15,32))

[Package cobs99 version 0.9-7 Index]