Re: [R] Piecewise Lasso Regression
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.
Re: [R] Piecewise Lasso Regression
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 __ 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.
Re: [R] Piecewise Lasso Regression
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 __ 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.
Re: [R] Piecewise Lasso Regression
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.
[R] Piecewise Lasso Regression
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.