margint.cl {rmargint} | R Documentation |
Classic marginal integration procedures for additive models
Description
This function computes the standard marginal integration procedures for additive models.
Usage
margint.cl(
formula,
data,
subset,
point = NULL,
windows,
epsilon = 1e-06,
prob = NULL,
type = "0",
degree = NULL,
qderivate = FALSE,
orderkernel = 2,
Qmeasure = NULL
)
Arguments
formula |
an object of class |
data |
an optional data frame, list or environment (or object coercible by as.data.frame to a data frame) containing the variables in the model. If not found in |
subset |
an optional vector specifying a subset of observations to be used in the fitting process. |
point |
a matrix of points where predictions will be computed and returned. |
windows |
a vector or a squared matrix of bandwidths for the smoothing estimation procedure. |
epsilon |
convergence criterion. |
prob |
a vector of probabilities of observing each response (n). Defaults to |
type |
three different type of estimators can be selected: type |
degree |
degree of the local polynomial smoother in the direction of interest when using the estimator of type |
qderivate |
if TRUE, it calculates |
orderkernel |
order of the kernel used in the nuisance directions when using the estimator of type |
Qmeasure |
a matrix of points where the integration procedure ocurrs. Defaults to |
Details
This function computes three types of classical marginal integration procedures for additive models, that is, considering a squared loss function.
Value
A list with the following components:
mu |
Estimate for the intercept. |
g.matrix |
Matrix of estimated additive components (n by p). |
prediction |
Matrix of estimated additive components for the points listed in the argument point. |
mul |
A vector of size p showing in each component the estimated intercept that considers only that direction of interest when using the type |
g.derivative |
Matrix of estimated derivatives of the additive components (only when qderivate is |
prediction.derivate |
Matrix of estimated derivatives of the additive components for the points listed in the argument point (only when qderivate is |
Xp |
Matrix of explanatory variables. |
yp |
Vector of responses. |
formula |
Model formula |
Author(s)
Alejandra Martinez, ale_m_martinez@hotmail.com, Matias Salibian-Barrera
References
Chen R., Hardle W., Linton O.B. and Severance-Lossin E. (1996). Nonparametric estimation of additive separable regression models. Physica-Verlag HD, Switzerland. Linton O. and Nielsen J. (1995). A kernel method of estimating structured nonparametric regression based on marginal integration. Biometrika, 82(1), 93-101. Severance-Lossin E. and Sperlich S. (1999). Estimation of derivatives for additive separable models. Statistics, 33(3), 241-265. Tjostheim D. and Auestad B. (1994). Nonparametric identification of nonlinear time series: Selecting significant lags. Journal of the American Statistical Association, 89(428), 1410-1430.
Examples
function.g1 <- function(x1) 24*(x1-1/2)^2-2
function.g2 <- function(x2) 2*pi*sin(pi*x2)-4
n <- 150
x1 <- runif(n)
x2 <- runif(n)
X <- cbind(x1, x2)
eps <- rnorm(n,0,sd=0.15)
regresion <- function.g1(x1) + function.g2(x2)
y <- regresion + eps
bandw <- matrix(0.25,2,2)
set.seed(8090)
nQ <- 80
Qmeasure <- matrix(runif(nQ*2), nQ, 2)
fit.cl <- margint.cl(y ~ X, windows=bandw, type='alpha', degree=1, Qmeasure=Qmeasure)