[R] piecewise regression

Sat Jan 15 01:17:33 CET 2011

dear all,
The package segmented allows to estimate piecewise linear relationships (*connected*
lines, i.e. a gradual change in the slope) with several breakpoints (known or unknown)
within (generalized) linear models.. 
The package also includes some functions for plotting and testing..

Have a look to
library(help=segmented)
?segmented

and references therein (there is a Rnews paper that could be useful..)

vito

PS If I remember correctly strucchange fits "piecewise constant" models, i.e. sudden
changes in the intercept.

====================================
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 485726/485612
http://dssm.unipa.it/vmuggeo
====================================

On Fri, 14 Jan 2011 14:14:26 -0500, John Sorkin wrote
> If you know  the knot and want linear segments, lm (or any other "normal" 
> regression software) can perform the analysis. For example if you want to 
> regress y  on x and have a knot a 20 the following code will work:
> 
> x <- runif(500,0,40)
> plot(x)
> 
> for (i in 1:500) {
> if (x[i] < 20)  y[i] <- (-0.5*x[i])+rnorm(1)
> if (x[i] >= 20) y[i] <- ( 0.5*x[i])+rnorm(1) -20
> }
> 
> plot(x,y)
> 
> knot <- 20
> aboveknot <- pmax(x-knot,rep(0,500))# will be 0 for x < 20, x for x >20
> fit1 <- lm(y~x+aboveknot)
> summary(fit1)
> 
> The analysis will give you three parameters
> (1) the intercept
> (2) the slope of below 20
> (3) the difference between the slope below 20 and above 20
> 
> John
> 
> John Sorkin M.D., Ph.D.
> Chief, Biostatistics and Informatics
> Baltimore VA Medical Center GRECC,
> University of Maryland School of Medicine Claude D. Pepper OAIC,
> University of Maryland Clinical Nutrition Research Unit, and
> Baltimore VA Center Stroke of Excellence
> 
> University of Maryland School of Medicine
> Division of Gerontology
> Baltimore VA Medical Center
> 10 North Greene Street
> GRECC (BT/18/GR)
> Baltimore, MD 21201-1524
> 
> (Phone) 410-605-7119
> (Fax) 410-605-7913 (Please call phone number above prior to faxing)
> jsorkin at grecc.umaryland.edu
> 
> >>> Gene Leynes <gleynes+r at gmail.com> 1/14/2011 11:50 AM >>>
> oh yes, and the structchange package.
> 
> After a day of experimentation I couldn't figure out how to get the
> structchange package to work for my problems.  Although it is probably user
> error on my part, the package seems to be specific to time series problems.
> Also, I think it needed regularly spaced x's... but maybe that would be a
> good thing to look at as part of a two step approach (smoothing first to get
> regularly spaced data).
> 
> PS:  Actually, I just noticed that there are some other help topics that I
> had not read yet which went up last November.
> http://r-project.markmail.org/thread/npjhlwwt6oh3sby3
> 
> On Fri, Jan 14, 2011 at 10:25 AM, Spencer Graves <
> spencer.graves at structuremonitoring.com> wrote:
> 
> > Hello:
> >
> >
> >      I just found 58 help pages in 32 contributed packages containing the
> > terms "piecewise" and "regression", as follows:
> >
> >
> > library(sos)
> > pr <- ???'piecewise regression' # for "piecewise" with "regression"
> > summary(pr) # 58 matches in 32 packages
> > pr # view the 58 links sorted by package in a web browser
> >
> > p.r <- ???"{piecewise regression}" # for "piecewise" followed immediate by
> > "regression"
> > summary(p.r) # 15 matches in 13 packages
> > p.4 # to view in a web browser
> >
> >
> >      Beyond this, the "structchange" package supports looking for changes
> > that would be, e.g., linear in one segment then jump to a different linear
> > regime.  If you want the lines to connect, then you may want splines.
> >  Probably the most common spline is cubic, but you can also get linear
> > splines.  One of the most general spline packages is "fda" (functional data
> > analysis), with multiple companion books by James Ramsay and others.
> >  However, there are other spline packages.
> >
> >
> >      If this does not answer your question, "PLEASE do read the posting
> > guide http://www.R-project.org/posting-guide.html and provide commented,
> > minimal, self-contained, reproducible code", as it says in the signature
> > block for each email on this list.
> >
> >
> >      Hope this helps.
> >      Spencer Graves
> >
> >
> >
> > On 1/14/2011 6:42 AM, Federico Bonofiglio wrote:
> >
> >> Hello everybody!!!!
> >>
> >> Quick question, if you'd like to throw a little tip:
> >>  does anyone knows a function that runs piecewise regression models with
> >> coefficients estimation and inferences ?
> >>
> >> Thank you
> >>
> >>        [[alternative HTML version deleted]]
> >>
> >> ______________________________________________
> >> R-help at 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-help at 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.
> >
> 
> 	[[alternative HTML version deleted]]
> 
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