Dear Vito, Thank you very much for the advice - I will try it and see how the regression looks.
Best, Lucas On Jun 6, 2012, at 11:45 AM, Vito Muggeo (UniPa) wrote: > dear Lucas, > If you are interested in selecting the number of breakpoints here a possible > remedy: > > 1. Fit a segmented model with a large number of breakpoints via the arguments > psi=NA and stop.if.error=FALSE in seg.control() (see the example below) > > 2. extract the "model matrix" relevant to the variables of the breakpoints > > 3. Use lars with the extracted model matrix > > Notice that there are at least two issues that I did not mention: > a) The criterion to be used to select the variables (i.e the breakpoints) > b) When you remove variables (i.e. breakpoints) you are assuming that the ML > estimate of the remaining breakpoints is the same (and this is not the case > here, as point estimates of the breakpoints depend on the number of > breakpoints themselves..) > > > vito > > ###Here a simple example > n=100 > xx<-1:n/n > psi0<-seq(.2,.8,by=.2) > X<-sapply(c(0,psi0), function(x)pmax(xx-x,0)) > b<-c(-.6,.7,.4,-1,.5) > mu<-drop(X%*%b) > yy<-mu+rnorm(n)*.01 > plot(xx,mu);lines(xx, mu) > > > > library(segmented) > o<-lm(yy~xx) > os<-segmented(o,seg.Z=~xx,psi=NA,control=seg.control(stop.if.error=FALSE,K=30, > n.boot=0)) > plot(os, add=T, col=2) #have a look to results > > #extract the new model matrix > new.X<-model.matrix(os)[,os$nameUV$U] > > #finally use lars on y~new.X > > Hope this helps you, > vito > > Il 06/06/2012 15.48, Lucas Santana dos Santos ha scritto: >> Hi Vito, >> >> I am more interested in selecting the number of breakpoints. My data has >> some structure and I believe that fitting a piecewise regression would be of >> great benefit. >> >> Thanks, >> >> Lucas >> >> On Jun 6, 2012, at 4:54 AM, Vito Muggeo (UniPa) wrote: >> >>> dear lucas, >>> yes you are right, segmented does not handle 'lars' objects. >>> >>> Out of curisity, are you interested in selecting the number of breakpoints >>> or in selecting additional covariates with linear parameters? >>> >>> vito >>> >>> >>> Il 06/06/2012 0.01, Lucas Santana dos Santos ha scritto: >>>> Hi All, >>>> >>>> >>>> I am trying to fit a piecewise lasso regression, but package Segmented >>>> does not work with Lars objects. >>>> Does any know of any package or implementation of piecewise lasso >>>> regression? >>>> >>>> Thanks, >>>> >>>> Lucas >>>> ______________________________________________ >>>> R-help@r-project.org mailing list >>>> https://stat.ethz.ch/mailman/listinfo/r-help >>>> PLEASE do read the posting guide >>>> http://www.R-project.org/posting-guide.html >>>> and provide commented, minimal, self-contained, reproducible code. >>>> >>> >>> -- >>> ==================================== >>> Vito M.R. Muggeo >>> Dip.to Sc Statist e Matem `Vianelli' >>> Università di Palermo >>> viale delle Scienze, edificio 13 >>> 90128 Palermo - ITALY >>> tel: 091 23895240 >>> fax: 091 485726 >>> http://dssm.unipa.it/vmuggeo >>> ==================================== >> >> > > -- > ==================================== > Vito M.R. Muggeo > Dip.to Sc Statist e Matem `Vianelli' > Università di Palermo > viale delle Scienze, edificio 13 > 90128 Palermo - ITALY > tel: 091 23895240 > fax: 091 485726 > http://dssm.unipa.it/vmuggeo > ==================================== ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
