Re: [R] Piecewise Linear Regression

From: roger koenker <roger_at_ysidro.econ.uiuc.edu>
Date: Tue 31 May 2005 - 10:23:19 EST

It is conventional to fit piecewise linear models by assuming Gaussian error and
using least squares methods, but one can argue that median regression provides
a more robust approach to this problem. You might consider the following fit:

  x = c
(6.25,6.25,12.50,12.50,18.75,25.00,25.00,25.00,31.25,31.25,37.50,37.50,5 0.00,50.00,62.50,62.50,75.00,75.00,75.00,100.00,100.00)   y = c
(0.328,0.395,0.321,0.239,0.282,0.230,0.273,0.347,0.211,0.210,0.259,0.186 ,0.301,0.270,0.252,0.247,0.277,0.229,0.225,0.168,0.202) library(quantreg)
plot(x,y)
fit <- rqss(y ~ qss(x))
plot(fit)

it gives 5 segments not 3, but this can be controlled by the choice of lambda in the qss
function, for example, try:

fit <- rqss(y ~ qss(x,lambda=3)
plot(fit,col="red")

which gives a fit like you suggest might be reasonable with only three segments.

url:    www.econ.uiuc.edu/~roger                Roger Koenker
email   rkoenker@uiuc.edu                       Department of Economics
vox:    217-333-4558                            University of Illinois
fax:    217-244-6678                            Champaign, IL 61820


On May 30, 2005, at 6:38 PM, Abhyuday Mandal wrote:

> Hi,
>
> I need to fit a piecewise linear regression.
>
> x = c
> (6.25,6.25,12.50,12.50,18.75,25.00,25.00,25.00,31.25,31.25,37.50,37.50
> ,50.00,50.00,62.50,62.50,75.00,75.00,75.00,100.00,100.00)
> y = c
> (0.328,0.395,0.321,0.239,0.282,0.230,0.273,0.347,0.211,0.210,0.259,0.1
> 86,0.301,0.270,0.252,0.247,0.277,0.229,0.225,0.168,0.202)
>
> there are two change points. so the fitted curve should look like
>
>
>
> \
> \ /\
> \/ \
> \
> \
>
> How do I do this in R ?
>
> Thank you,
> Abhyuday
>
> ______________________________________________
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-
> guide.html
>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Tue May 31 10:27:36 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:32:16 EST