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]]
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 at 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 at pdf.com
www.pdf.com <http://www.pdf.com>
Tel: 408-938-4420
Fax: 408-280-7915
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 at 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 at pdf.com > www.pdf.com <http://www.pdf.com> > Tel: 408-938-4420 > Fax: 408-280-7915 > > ______________________________________________ > R-help at 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 > >
From: Peter Dalgaard> > "Liaw, Andy" <andy_liaw at 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 at 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 at pdf.com > > > www.pdf.com <http://www.pdf.com> > > > Tel: 408-938-4420 > > > Fax: 408-280-7915 > > > > > > ______________________________________________ > > > R-help at 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 at 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 at biostat.ku.dk) FAX: > (+45) 35327907 > >