gamlss (version 5.4-12)

histSmo: Density estimation using the Poisson trick

Description

This set of functions use the old Poisson trick of discretising the data and then fitting a Poisson error model to the resulting frequencies (Lindsey, 1997). Here the model fitted is a smooth cubic spline curve. The result is a density estimator for the data.

Usage

histSmo(y, lambda = NULL, df = NULL, order = 3, lower = NULL,  
       upper = NULL, type = c("freq", "prob"), 
       plot = FALSE, breaks = NULL,  
       discrete = FALSE, ...)
histSmoC(y, df = 10, lower = NULL, upper = NULL, type = c("freq", "prob"), 
       plot = FALSE, breaks = NULL,  
       discrete = FALSE, ...)
histSmoO(y, lambda = 1, order = 3, lower = NULL, upper = NULL, 
      type = c("freq", "prob"), 
      plot = FALSE, breaks = NULL,  
      discrete = FALSE, ...)
histSmoP(y, lambda = NULL, df = NULL, order = 3, lower = NULL, 
      upper = NULL, type = c("freq", "prob"), 
      plot = FALSE, breaks = NULL,  discrete = FALSE, 
      ...)

Value

Returns a histSmo S3 object. The object has the following components:

x

the middle points of the discretise data

counts

how many observation are on the discretise intervals

density

the density value for each discrete interval

hist

the hist object used to discretise the data

cdf

The resulting cumulative distribution function useful for calculating probabilities from the estimate density

nvcdf

The inverse cumulative distribution function

model

The fitted Poisson model only for histSmoP() and histSmoC()

Arguments

y

the variable of interest

lambda

the smoothing parameter

df

the degrees of freedom

order

the order of the P-spline

lower

the lower limit of the y-variable

upper

the upper limit of the y-variable

type

the type of histogram

plot

whether to plot the resulting density estimator

breaks

the number of break points to be used in the histogram and consequently the number of observations in the Poisson fit

discrete

whether to treat the fitting density as a discrete distribution or not

...

further arguments passed to or from other methods.

Author

Mikis Stasinopoulos, Paul Eilers, Bob Rigby and Vlasios Voudouris

Details

Here are the methods used here:

i) The function histSmoO() uses Penalised discrete splines (Eilers, 2003). This function is appropriate when the smoothing parameter is fixed.

ii) The function histSmoC() uses smooth cubic splines and fits a Poison error model to the frequencies using the cs() additive function of GAMLSS. This function is appropriate if the effective degrees of freedom are fixed in the model.

iii) The function histSmoP() uses Penalised cubic splines (Eilers and Marx 1996). It is fitting a Poisson model to the frequencies using the pb() additive function of GAMLSS. This function is appropriate if automatic selection of the smoothing parameter is required.

iv) The function histSmo() combines all the above functions in the sense that if lambda is fixed it uses histSmoO(), if the df's are fixed it uses codehistSmoC() and if none of these is specified it uses histSmoP().

References

Eilers, P. (2003). A perfect smoother. Analytical Chemistry, 75: 3631-3636.

Eilers, P. H. C. and Marx, B. D. (1996). Flexible smoothing with B-splines and penalties (with comments and rejoinder). Statist. Sci, 11, 89-121.

Lindsey, J.K. (1997) Applying Generalized Linear Models. New York: Springer-Verlag. ISBN 0-387-98218-3

Rigby, R. A. and Stasinopoulos D. M. (2005). Generalized additive models for location, scale and shape,(with discussion), Appl. Statist., 54, part 3, pp 507-554.

Rigby, R. A., Stasinopoulos, D. M., Heller, G. Z., and De Bastiani, F. (2019) Distributions for modeling location, scale, and shape: Using GAMLSS in R, Chapman and Hall/CRC. An older version can be found in https://www.gamlss.com/.

Stasinopoulos D. M. Rigby R.A. (2007) Generalized additive models for location scale and shape (GAMLSS) in R. Journal of Statistical Software, Vol. 23, Issue 7, Dec 2007, https://www.jstatsoft.org/v23/i07/.

Stasinopoulos D. M., Rigby R.A., Heller G., Voudouris V., and De Bastiani F., (2017) Flexible Regression and Smoothing: Using GAMLSS in R, Chapman and Hall/CRC.

(see also https://www.gamlss.com/).

See Also

pb, cs

Examples

# creating data from Pareto 2 distribution
set.seed(153)
Y <- rPARETO2(1000) 
if (FALSE) {
# getting the density 
histSmo(Y, lower=0, plot=TRUE)
# more  breaks a bit slower
histSmo(Y, breaks=200, lower=0, plot=TRUE)
# quick fit using lambda
histSmoO(Y, lambda=1, breaks=200, lower=0, plot=TRUE)
# or 
histSmo(Y, lambda=1, breaks=200, lower=0, plot=TRUE)
# quick fit using df
histSmoC(Y, df=15, breaks=200, lower=0,plot=TRUE)
# or 
histSmo(Y, df=15, breaks=200, lower=0)
# saving results
m1<- histSmo(Y, lower=0, plot=T)
plot(m1)
plot(m1, "cdf")
plot(m1, "invcdf")
# using with a histogram
library(MASS)
truehist(Y)
lines(m1, col="red")
#---------------------------
# now gererate from SHASH distribution
YY <- rSHASH(1000)
m1<- histSmo(YY)
# calculate Pr(YY>10)
1-m1$cdf(10)
# calculate Pr(-10