pmreg {ftnonpar}R Documentation

Piecewise monotone regression with taut strings

Description

Applies the taut string method to one-dimensional data.

Usage

pmreg(y, thr.const=2.3, verbose=FALSE, extrema.nr=-1, bandwidth=-1, 
sigma=-1, localsqueezing=TRUE, squeezing.factor=0.5, tolerance=1e-08,
extrema.mean=TRUE,DYADIC=TRUE,dyad.factor=1.1,POSTISO=TRUE)

Arguments

y observed values (ordered by value of independent variable)
thr.const smoothing parameter for the multiresolution criterion (should be approximately 2.3)
verbose logical, if T progress (for each iteration) is illustrated grahically
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.
sigma if set to a positive value sigma the standard deviation is set to sigma and not estimated from the data
localsqueezing logical, if TRUE (default) the bandwidth is changed locally.
squeezing.factor The amount of decrement applied to the bandwidthes
tolerance Accuracy used for the determination of the bandwidth when extrema.nr is greater than 0.
extrema.mean logical, if TRUE (default) the value of the taut string approximation at local extreme values is set to the mean of the observations on the interval where the extremum is taken.
DYADIC If TRUE the multiresolution constraints are only checked on dyadic intervals.
dyad.factor If the multiresolution constraints are checked on dyadic intervals, dyad.factor determines the ratio between the lengths of two subsequent level (default is 1.1).
POSTISO If TRUE (default) any bias caused by local squeezing is removed by applying isotonic and isotonic regression between each two local extreme values.

Value

A list with components

y The approximation of the given data
sigma Standard deviation used
widthes Bandwidth used
nmax Number of local extreme values
knotsind Indices of knot points
knotsy y-koordinates of knots of the taut string

Author(s)

Arne Kovac A.Kovac@bristol.ac.uk

References

Davies, P. L. and Kovac, A. (2001) Local Extremes, Runs, Strings and Multiresolution (with discussion) Annals of Statistics. 29. p1-65

See Also

mintvmon,l1pmreg,pmden,pmspec

Examples

data(djdata)
pmreg(djdoppler,verbose=TRUE)$n

[Package ftnonpar version 0.1-83 Index]