From: roger koenker <roger_at_ysidro.econ.uiuc.edu>

Date: Tue 31 May 2005 - 10:23:19 EST

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

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

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