That is what I thought to be the critical paragraph. The variance is
assumed to be = 1 when you use family="gaussian" rather than the
default of family="qgauss". You give it a vector, 1000*rnorm(100),
that ranges widely and a small (relative) variance is assumed and so
the confidence intervals are plotted as very narrow. This does not
seem surprising given the functions documented design. I have the book
and do not think I even need to pull it off the shelf since the help
pages appear fully informative in this instance. I get an rv of 1 with
the "gaussian" option and an rv of nearly 1000 when the default is used.
--
David Winsemius
On Mar 3, 2009, at 3:26 PM, Suresh Krishna wrote:
David Winsemis wrote:
I think you should read (or re-read) the locfit help page and
*also* the links from that page to the help pages for locfit.raw
and rv. I would have thought that since family= is not an argument
to locfit per se, but rather is documented in locfit.raw that you
have yet done so, but perhaps not?
I did read the help pages for locfit.raw, and found:
"Local likelihood family; "gaussian"; "binomial"; "poisson"; "gamma"
and "geom". Density and rate estimation families are "dens", "rate"
and "hazard" (hazard rate). If the family is preceded by a 'q' (for
example, family="qbinomial"), quasi-likelihood variance estimates
are used. Otherwise, the residual variance (rv) is fixed at 1. The
default family is "qgauss" if a response y is provided; "density" if
no response is provided. "
However, since the fake data were generated from a known gaussian
distribution, I did not imagine that using family=gaussian would
lead to such wildly different results. This is what I was hoping to
understand, without having to struggle with Catherine's Loader book
in order to understand the above paragraph deeply enough that this
behavior makes sense.
Thanks again, Suresh
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