[R] noise in explanatory variable. Used to be: Regressions with monot onicity constraints
vograno at arbitrade.com
Fri Apr 27 21:20:47 CEST 2001
Dear All, First of all let me thank Frank Harrell, Thomas Lumley and Greg
Snow for their very helpful insights on fitting monotonic regressions.
As I work with my data I often feel like the data "resists" to fit monotonic
model though I have a strong a-priory believe it should.
One of potential reasons of this resistance is that the explanotary variable
is not known exactly rather has a noice term of its own. That is instead of
y = f(x) + noise
model I need to fit
y = f(x + noise2) + noise
where f() is either monotonic or smooth (I hope that if I allow for noise in
x then estimated smooth f() will naturally come out monotonic).
Is it a known setting of a statistical model?
Is there S-Plus/R/C code for fitting such models?
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