Re: [R] partially linear models

From: Liaw, Andy <andy_liaw_at_merck.com>
Date: Tue 20 Dec 2005 - 14:23:14 EST


This doesn't look like an R question, as I know of no pre-packaged functionality publicly available that can fit the model that Elizabeth described, and it doesn't seem like she's particularly interested in an R-based answer, either.

My gut feeling is that if there is a test of significance for beta in such a model, it probably shouldn't depend upon how f() is fitted, wavelets or otherwise. I.e., any test for the linear component in a partially linear model ought to do just fine. The main difference here, from a fully linear model, is that one no longer can estimate E(y) without bias, even with the assumption that the model is correct. What gets messier still is if data-dependent smoothing/de-noising is done in estimating f(), as that opens up a whole bucket of nasty creatures.

I could be off, though, so take this with a truck-load of NaCl...

Andy

From: Spencer Graves
>
> I have seen no replies to this post, and I don't know
> that I can
> help, either. However, I wonder if you tried "RSiteSearch" with your
> favorite key words and phrases? For example, I just got 107 hits for
> 'RSiteSearch("wavelets")'. I wonder if any of them might help you.
>
> If you'd like further help from this list, please
> submit another
> post. However, before you do, I suggest you read the posting guide!
> "www.R-project.org/posting-guide.html". Anecdotal evidence suggests
> that posts more consistent with the guide tend to receive
> quicker, more
> useful replies.
>
> Best Wishes,
> spencer graves
>
> Elizabeth Lawson wrote:
>
> > Hey,
> >
> > I am estiamting a partially linear model
> y=X\beta+f(\theta) where the f(\theta) is estiamted using wavelets.
> >
> > Has anyone heard of methods to test if the betas are
> significant or to address model fit?
> >
> > Thanks for any thoughts or comments.
> >
> > Elizabeth Lawson
> >
> > __________________________________________________
> >
> >
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > 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
>
> --
> Spencer
> Graves, PhD
> Senior Development Engineer
> PDF Solutions, Inc.
> 333 West San Carlos Street Suite 700
> San Jose, CA 95110, USA
>
> spencer.graves@pdf.com
> www.pdf.com <http://www.pdf.com>
> Tel: 408-938-4420
> Fax: 408-280-7915
>
> ______________________________________________
> 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 Dec 20 14:30:00 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:41:40 EST