[R] non-decreasing smoother

Claudia Tebaldi tebaldi at rap.ucar.edu
Thu Mar 28 00:28:35 CET 2002


Is there a simple way of fitting a 'smooth curve' to a time series with
the additional constraint that the first derivative be not negative? 
I know that if I choose a "large enough" window for a moving average 
sort of filter on my data I end up with a non-decreasing curve anyway, but
I'm wondering if there is a pre-built method that can include the
constraint from the start, and lets you vary the degree of smoothness 
in addition to it. 

This is a kind of "data quality control" issue: I have hundreds of time
series on the order of a couple of hundred's observations each, and I
expect to replicate this smoothing process for each series separately. 

Thanks in advance


claudia tebaldi                                  NCAR  RAP
project scientist                                P.O. Box 3000
(303) 497-2830                                   Boulder, CO 80307

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