XploRe Help : regcb

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	smoother
See also:	regest regci regxest regxci regxcb

Quantlet:		regcb
Description:		computes uniform confidence bands with prespecified confidence level for univariate regression using the Nadaraya-Watson estimator. The computation uses WARPing.

Reference(s):

Haerdle (1990): Applied Nonparametric Regression Haerdle (1991): Smoothing Techniques

Usage:	`{mh, clo, cup} = regcb(x {,h {,alpha {,K} {,d}}})`
Input:
	`x`	n x 2, the data. In the first column the independent, in the second column the dependent variable.
	`h`	scalar, bandwidth. If not given, 20% of the range of x[,1] is used.
	`alpha`	confidence level, If not given, 0.05 is used.
	`K`	string, kernel function on [-1,1] with K(-1)=K(1)=0. If not given, the Quartic kernel "qua" is used.
	`d`	scalar, discretization binwidth. d must be smaller than h. If not given, the minimum of h/3 and (max(x[,1])-min(x[,1]))/100 is used.
Output:
	`mh`	m x 2 matrix, the first column is a grid and the second column contains the regression estimate on that grid.
	`clo`	m x 2 matrix, the first column is a grid and the second column contains the lower confidence bounds for that grid.
	`cup`	m x 2 matrix, the first column is a grid and the second column contains the upper confidence bounds for that grid.

Example:

library("smoother") library("plot") x = read("motcyc") {mh, clo, cup} = regcb(x,3) ; x =setmask( x,"cross") mh=setmask(mh,"line","blue") clo=setmask(clo,"line","blue","thin","dashed") cup=setmask(cup,"line","blue","thin","dashed") plot(x,mh,clo,cup)

Result:

Uniform confidence bands at confidence level
alpha=0.05 are pictured using the bandwidth h=0.3

Author: M. Mueller, 20000328