Re: [R] Robustness of Segmented Regression Contributed by Muggeo

From: roger koenker <rkoenker_at_uiuc.edu>
Date: Wed 08 Jun 2005 - 22:36:18 EST


You might try rqss() in the quantreg package. It gives piecewise linear fits
for a nonparametric form of median regression using total variation of the
derivative of the fitted function as a penalty term. A tuning parameter (lambda) controls the number of distinct segments. More details are available in the vignette for the quantreg package.

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 Jun 8, 2005, at 7:25 AM, Park, Kyong H Mr. RDECOM wrote:

> Hello, R users,
> I applied segmented regression method contributed by Muggeo and got
> different slope estimates depending on the initial break points.
> The results
> are listed below and I'd like to know what is a reasonable approach
> handling
> this kinds of problem. I think applying various initial break
> points is
> certainly not a efficient approach. Is there any other methods to
> deal with
> segmented regression? From a graph, v shapes are more clear at 1.2
> and 1.5
> break points than 1.5 and 1.7. Appreciate your help.
>
> Result1:
> Initial break points are 1.2 and 1.5. The estimated break points
> and slopes:
>
> Estimated Break-Point(s):
> Est. St.Err
> Mean.Vel 1.285 0.05258
> 1.652 0.01247
>
> Est. St.Err. t value CI
> (95%).l
> CI(95%).u
> slope1 0.4248705 0.3027957 1.403159 -0.1685982
> 1.018339
> slope2 2.3281445 0.3079903 7.559149 1.7244946
> 2.931794
> slope3 9.5425516 0.7554035 12.632390 8.0619879
> 11.023115
> Adjusted R-squared: 0.9924.
>
> Result2:
> Initial break points are 1.5 and 1.7. The estimated break points
> and slopes:
>
> Estimated Break-Point(s):
> Est. St.Err
> Mean.Vel 1.412 0.02195
> 1.699 0.01001
>
> Est. St.Err. t value CI
> (95%).l
> CI(95%).u
> slope1 0.7300483 0.1381587 5.284129 0.4592623
> 1.000834
> slope2 3.4479466 0.2442530 14.116289 2.9692194
> 3.926674
> slope3 12.5000000 1.7783840 7.028853 9.0144314
> 15.985569
>
> Adjusted R-squared: 0.995.
>
>
>
>
> [[alternative HTML version deleted]]
>
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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 Wed Jun 08 22:44:06 2005

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