On Thu, 17 Nov 2005, Michael Friendly wrote: > Is there an R implementation of a scheme for automatic smoothing > parameter selection with loess, e.g., by minimizing one of the AIC/GCV > statistics discussed by Hurvich, Simonoff & Tsai (1998)?
If you particularly want loess smoothing then I don't know, but if penalised spline smoothing will do then in gam() in the mgcv package does minimize GCV. -thomas > Below is a function that calculates the relevant values of AICC, > AICC1 and GCV--- I think, because I to guess from the names of the > components returned in a loess object. > > I guess I could use optimize(), or do a simple line search on span=, > but I'm not sure how to use loess.aic to write a function > that would act as a wrapper for loess() and return the mimimizing > loess fit for a specified criterion. > > loess.aic <- function (x) { > # extract values from loess object > if (!(inherits(x,"loess"))) stop("Error: argument must be a loess > object") > span <- x$pars$span > n <- x$n > traceL <- x$trace.hat > sigma2 <- sum( x$residuals^2 ) / (n-1) > delta1 <- x$one.delta > delta2 <- x$two.delta > enp <- x$enp > > aicc <- log(sigma2) + 1 + 2* (2*(traceL+1)) / (n-traceL-2) > aicc1<- n*log(sigma2) + n* ( > (delta1/(delta2*(n+enp)))/(delta1^2/delta2)-2 ) > gcv <- n*sigma2 / (n-traceL)^2 > > result <- list(span=span, aicc=aicc, aicc1=aicc1, gcv=gcv) > return(result) > } > > > > cars.lo <- loess(dist ~ speed, cars) > > > > (values <- loess.aic(cars.lo)) > $span > [1] 0.75 > > $aicc > [1] 6.93678 > > $aicc1 > [1] 167.7267 > > $gcv > [1] 5.275487 > > > > > > -- > Michael Friendly Email: friendly AT yorku DOT ca > Professor, Psychology Dept. > York University Voice: 416 736-5115 x66249 Fax: 416 736-5814 > 4700 Keele Street http://www.math.yorku.ca/SCS/friendly.html > Toronto, ONT M3J 1P3 CANADA > > ______________________________________________ > 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 > Thomas Lumley Assoc. Professor, Biostatistics [EMAIL PROTECTED] University of Washington, Seattle ______________________________________________ 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