smqreg {ftnonpar}R Documentation

Smooth piecewise monotone regression with taut strings

Description

Applies the smooth taut string method to one-dimensional data.

Usage

smqreg(y, thr.const=2.5, verbose=FALSE, bandwidth=-1, 
sigma=-1, localsqueezing=TRUE, squeezing.factor=0.5, DYADIC=TRUE,
firstlambda=100,smqeps=1/length(y),fsign=double(0),gensign=TRUE,
tolerance = 1e-12,...)

Arguments

y observed values (ordered by value of independent variable)
thr.const smoothing parameter for the multiresolution criterion (should be approximately 2.5)
verbose logical, if T progress (for each iteration) is illustrated grahically
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 T (default) the bandwidth is changed locally.
squeezing.factor The amount of decrement applied to the bandwidthes
DYADIC If TRUE the multiresolution constraints are only checked on dyadic intervals.
firstlambda Initial value of lambda's for local or global squeezing.
smqeps Distance between the (equally-spaced) time points.
fsign Monotonicity constraints, vector of size n-1 of -1,0 and 1's. If fsign[i]==1, then fhat[i+1]>= fhat[i]. If fsign[i]==-1, then fhat[i+1]<=f[i]. Otherwise no constraint at this position.
gensign If TRUE the taut string method is used to automatically produce suitable monotonicity constraints.
tolerance Precision for the nested intervals for solving the minimisation problem.
... Passed to the plot command if verbose=T.

Value

A list with components

y The approximation of the given data
nmax Number of local extreme values
sigma Standard deviation used

Author(s)

Arne Kovac A.Kovac@bristol.ac.uk

References

Kovac, A. (2006) Smooth functions and local extreme values. Technical Report

See Also

pmreg,mintvmon,l1pmreg,pmden,pmspec

Examples

data(djdata)
par(mfrow=c(2,2))
plot(djblocks,col="grey")
lines(smqreg(djblocks)$y,col="red")
plot(djbumps,col="grey")
lines(smqreg(djbumps)$y,col="red")
plot(djheavisine,col="grey")
lines(smqreg(djheavisine)$y,col="red")
plot(djdoppler,col="grey")
lines(smqreg(djdoppler)$y,col="red")

[Package ftnonpar version 0.1-83 Index]