RE: [R] Monotonic regression

From: Ted Harding <Ted.Harding_at_nessie.mcc.ac.uk>
Date: Tue 10 May 2005 - 04:34:33 EST


On 09-May-05 Raubertas, Richard wrote:
> The 'pava' function below looks like code that I wrote
> (with all the comments removed). I have posted it two or
> three times over the years to the S/R lists.

If you recognise the code, then it is likely that it is what I came across abut 3 years ago when I was browsing arond for methods foer isotonic regression. At the time I was still mainly using 'octave' for much statistics, and I "ported" it from R to octave (a very simple transcription in this case).

So thanks for contributing it: I have found it useful many times, and happily acknowledge your authorship!

> As Martin Maechler has noted, the function 'isoreg' will also
> do monotonic regression (much faster for large data sets).
> However, it does not allow weights (at least as of R 2.0.1).

Nor (looking at the code for 'isoreg' today, now that the issue has come up) could I see any easy way to incorporate weights into that code.

> I don't understand the original poster's comment about
> "local minimum". Isotonic regression is a convex optimization
> problem and 'pava' or 'isoreg' will always produce the
> unique solution.

Agreed. Nor did I!

Best wishes,
Ted.



E-Mail: (Ted Harding) <Ted.Harding@nessie.mcc.ac.uk> Fax-to-email: +44 (0)870 094 0861
Date: 09-May-05                                       Time: 19:32:46
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