From: Peter Dalgaard > > "Liaw, Andy" <[EMAIL PROTECTED]> 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 > > > > > > [EMAIL PROTECTED] > > > 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 Ă˜ster Farimagsgade 5, Entr.B > c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K > (*) \(*) -- University of Copenhagen Denmark Ph: > (+45) 35327918 > ~~~~~~~~~~ - ([EMAIL PROTECTED]) 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