[R] cubic spline smoothers with heterogeneous variances
Martin Maechler
maechler at stat.math.ethz.ch
Wed Oct 23 14:48:48 CEST 2002
>>>>> "Bill" == Bill Shipley <Bill.Shipley at Usherbrooke.ca>
>>>>> on Tue, 22 Oct 2002 14:49:34 -0700 writes:
Bill> Hello. I have data (plant weights over time) that are
Bill> non-linear and in which the variance increases over
Bill> time. I have to estimate the first derivatives of
Bill> plant weight given time (i.e. growth rate) and their
Bill> se, using a regression smoother, and I have been
Bill> considering cubic spline smoothers.
fine. I do so too if I need derivatives.
Bill> However, I do not know if this can be done given that
Bill> the error variance would increase over time.
I'd hope that a simple two-stage procedure (possibly iterated)
would be enough :
1. Smooth(x,y) with ``df = small'' (depend on your context),
i.e. getting a smooth solution.
2. Get the residuals and Smooth(x, abs(resid))
to get an estimate proportional to sigma(x).
3. Smooth(x, y, weights = 1 / sigma(x))
{now you could iterate "2." and "3." and hopefully see
convergence (of some kind)}.
Bill> Does anyone know what the effect of a non-constant error
Bill> variance has on the estimates of the 1st derivative
Bill> and its se?
"adverse" (effects), but hopefully you'd only look at the 1st
derivative after the above 2-stage solution.
Martin Maechler <maechler at stat.math.ethz.ch> http://stat.ethz.ch/~maechler/
Seminar fuer Statistik, ETH-Zentrum LEO C16 Leonhardstr. 27
ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND
phone: x-41-1-632-3408 fax: ...-1228 <><
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