acepack (version 1.4.2)

avas: Additivity and variance stabilization for regression

Description

Estimate transformations of x and y such that the regression of y on x is approximately linear with constant variance

Usage

avas(x, y, wt = rep(1, nrow(x)), cat = NULL, mon = NULL, 
    lin = NULL, circ = NULL, delrsq = 0.01, yspan = 0)

Value

A structure with the following components:

x

the input x matrix.

y

the input y vector.

tx

the transformed x values.

ty

the transformed y values.

rsq

the multiple R-squared value for the transformed values.

l

the codes for cat, mon, ...

m

not used in this version of avas

yspan

span used for smoothing the variance

iters

iteration number and rsq for that iteration

niters

number of iterations used

Arguments

x

a matrix containing the independent variables.

y

a vector containing the response variable.

wt

an optional vector of weights.

cat

an optional integer vector specifying which variables assume categorical values. Positive values in cat refer to columns of the x matrix and zero to the response variable. Variables must be numeric, so a character variable should first be transformed with as.numeric() and then specified as categorical.

mon

an optional integer vector specifying which variables are to be transformed by monotone transformations. Positive values in mon refer to columns of the x matrix and zero to the response variable.

lin

an optional integer vector specifying which variables are to be transformed by linear transformations. Positive values in lin refer to columns of the x matrix and zero to the response variable.

circ

an integer vector specifying which variables assume circular (periodic) values. Positive values in circ refer to columns of the x matrix and zero to the response variable.

delrsq

termination threshold. Iteration stops when R-squared changes by less than delrsq in 3 consecutive iterations (default 0.01).

yspan

Optional window size parameter for smoothing the variance. Range is \([0,1]\). Default is 0 (cross validated choice). .5 is a reasonable alternative to try.

References

Rob Tibshirani (1987), ``Estimating optimal transformations for regression''. Journal of the American Statistical Association 83, 394ff.

Examples

TWOPI <- 8*atan(1)
x <- runif(200,0,TWOPI)
y <- exp(sin(x)+rnorm(200)/2)
a <- avas(x,y)
par(mfrow=c(3,1))
plot(a$y,a$ty)  # view the response transformation
plot(a$x,a$tx)  # view the carrier transformation
plot(a$tx,a$ty) # examine the linearity of the fitted model

# From D. Wang and M. Murphy (2005), Identifying nonlinear relationships
# regression using the ACE algorithm.  Journal of Applied Statistics,
# 32, 243-258, adapted for avas.
X1 <- runif(100)*2-1
X2 <- runif(100)*2-1
X3 <- runif(100)*2-1
X4 <- runif(100)*2-1

# Original equation of Y:
Y <- log(4 + sin(3*X1) + abs(X2) + X3^2 + X4 + .1*rnorm(100))

# Transformed version so that Y, after transformation, is a
# linear function of transforms of the X variables:
# exp(Y) = 4 + sin(3*X1) + abs(X2) + X3^2 + X4

a1 <- avas(cbind(X1,X2,X3,X4),Y)

par(mfrow=c(2,1))

# For each variable, show its transform as a function of
# the original variable and the of the transform that created it,
# showing that the transform is recovered.
plot(X1,a1$tx[,1])
plot(sin(3*X1),a1$tx[,1])

plot(X2,a1$tx[,2])
plot(abs(X2),a1$tx[,2])

plot(X3,a1$tx[,3])
plot(X3^2,a1$tx[,3])

plot(X4,a1$tx[,4])
plot(X4,a1$tx[,4])

plot(Y,a1$ty)
plot(exp(Y),a1$ty)