From: Liaw, Andy <andy_liaw_at_merck.com>

Date: Wed 21 Dec 2005 - 08:39:06 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 Wed Dec 21 09:06:14 2005

Date: Wed 21 Dec 2005 - 08:39:06 EST

From: Peter Dalgaard

*>
*

> "Liaw, Andy" <andy_liaw@merck.com> writes:

*>
**> > 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...
**>
**> Isn't it just a gam() model (package mgcv), if you replace the
**> wavelets with splines?
*

I believe so.

> I haven't messed with this for a decade, but I seem to recall that

*> there's a result to the effect that you need to undersmooth f slightly
**> to get optimal inference for the beta. Perhaps look in Green &
**> Silverman for the reference.
*

A quote I heard from Prof. David Ruppert: "There are lies, damned lies, and then big O notations."

I presume the need to undersmooth is to reduce the bias of the `smooth'. The problem is, by how much should one undersmooth, so the bias would go from O(k*n^-4) to O(k*n^-5) (I'm just making this up, but you get the idea)?

Cheers,

Andy

*>
*

> > 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
**> >
**>
**> --
**> O__
**> ---- Peter Dalgaard ุster Farimagsgade 5, Entr.B
**> c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K
**> (*) \(*) -- University of Copenhagen Denmark Ph:
**> (+45) 35327918
**> ~~~~~~~~~~ - (p.dalgaard@biostat.ku.dk) FAX:
**> (+45) 35327907
**>
*

>

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 Dec 21 09:06:14 2005

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