R: Fit a Smoothing Spline

smooth.spline {stats}

R Documentation

Fit a Smoothing Spline

Description

Fits a cubic smoothing spline to the supplied data.

Usage

smooth.spline(x, y = NULL, w = NULL, df, spar = NULL,
              cv = FALSE, all.knots = FALSE, nknots = NULL,
              keep.data = TRUE, df.offset = 0, penalty = 1,
              control.spar = list(), tol = 1e-6 * IQR(x))

Arguments

`x`	a vector giving the values of the predictor variable, or a list or a two-column matrix specifying x and y.
`y`	responses. If `y` is missing or `NULL`, the responses are assumed to be specified by `x`, with `x` the index vector.
`w`	optional vector of weights of the same length as `x`; defaults to all 1.
`df`	the desired equivalent number of degrees of freedom (trace of the smoother matrix).
`spar`	smoothing parameter, typically (but not necessarily) in (0,1]. The coefficient λ of the integral of the squared second derivative in the fit (penalized log likelihood) criterion is a monotone function of `spar`, see the details below.
`cv`	ordinary (`TRUE`) or ‘generalized’ cross-validation (GCV) when `FALSE`; setting it to `NA` skips the evaluation of leverages and any score.
`all.knots`	if `TRUE`, all distinct points in `x` are used as knots. If `FALSE` (default), a subset of `x[]` is used, specifically `x[j]` where the `nknots` indices are evenly spaced in `1:n`, see also the next argument `nknots`.
`nknots`	integer giving the number of knots to use when `all.knots=FALSE`. Per default, this is less than n, the number of unique `x` values for n > 49.
`keep.data`	logical specifying if the input data should be kept in the result. If `TRUE` (as per default), fitted values and residuals are available from the result.
`df.offset`	allows the degrees of freedom to be increased by `df.offset` in the GCV criterion.
`penalty`	the coefficient of the penalty for degrees of freedom in the GCV criterion.
`control.spar`	optional list with named components controlling the root finding when the smoothing parameter `spar` is computed, i.e., missing or `NULL`, see below. Note that this is partly experimental and may change with general spar computation improvements! low: lower bound for `spar`; defaults to -1.5 (used to implicitly default to 0 in R versions earlier than 1.4). high: upper bound for `spar`; defaults to +1.5. tol: the absolute precision (tolerance) used; defaults to 1e-4 (formerly 1e-3). eps: the relative precision used; defaults to 2e-8 (formerly 0.00244). trace: logical indicating if iterations should be traced. maxit: integer giving the maximal number of iterations; defaults to 500. Note that `spar` is only searched for in the interval [low, high].
`tol`	A tolerance for same-ness of the `x` values. The values are binned into bins of size `tol` and values which fall into the same bin are regarded as the same. Must be strictly positive (and finite).

Details

Neither x nor y are allowed to containing missing or infinite values.

The x vector should contain at least four distinct values. ‘Distinct’ here is controlled by tol: values which are regarded as the same are replaced by the first of their values and the corresponding y and w are pooled accordingly.

The computational λ used (as a function of \code{spar}) is λ = r * 256^(3*spar - 1) where r = tr(X' W X) / tr(Σ), Σ is the matrix given by Σ[i,j] = Integral B''[i](t) B''[j](t) dt, X is given by X[i,j] = B[j](x[i]), W is the diagonal matrix of weights (scaled such that its trace is n, the original number of observations) and B[k](.) is the k-th B-spline.

Note that with these definitions, f_i = f(x_i), and the B-spline basis representation f = X c (i.e., c is the vector of spline coefficients), the penalized log likelihood is L = (y - f)' W (y - f) + λ c' Σ c, and hence c is the solution of the (ridge regression) (X' W X + λ Σ) c = X' W y.

If spar is missing or NULL, the value of df is used to determine the degree of smoothing. If both are missing, leave-one-out cross-validation (ordinary or ‘generalized’ as determined by cv) is used to determine λ. Note that from the above relation, spar is spar = s0 + 0.0601 * log(λ), which is intentionally different from the S-PLUS implementation of smooth.spline (where spar is proportional to λ). In R's (log λ) scale, it makes more sense to vary spar linearly.

Note however that currently the results may become very unreliable for spar values smaller than about -1 or -2. The same may happen for values larger than 2 or so. Don't think of setting spar or the controls low and high outside such a safe range, unless you know what you are doing!

The ‘generalized’ cross-validation method will work correctly when there are duplicated points in x. However, it is ambiguous what leave-one-out cross-validation means with duplicated points, and the internal code uses an approximation that involves leaving out groups of duplicated points. cv=TRUE is best avoided in that case.

Value

An object of class "smooth.spline" with components

`x`	the distinct `x` values in increasing order, see the ‘Details’ above.
`y`	the fitted values corresponding to `x`.
`w`	the weights used at the unique values of `x`.
`yin`	the y values used at the unique `y` values.
`data`	only if `keep.data = TRUE`: itself a `list` with components `x`, `y` and `w` of the same length. These are the original (x_i,y_i,w_i), i=1,…,n, values where `data$x` may have repeated values and hence be longer than the above `x` component; see details.
`lev`	(when `cv` was not `NA`) leverages, the diagonal values of the smoother matrix.
`cv.crit`	cross-validation score, ‘generalized’ or true, depending on `cv`.
`pen.crit`	penalized criterion
`crit`	the criterion value minimized in the underlying `.Fortran` routine ‘sslvrg’.
`df`	equivalent degrees of freedom used. Note that (currently) this value may become quite imprecise when the true `df` is between and 1 and 2.
`spar`	the value of `spar` computed or given.
`lambda`	the value of λ corresponding to `spar`, see the details above.
`iparms`	named integer(3) vector where `..$ipars["iter"]` gives number of spar computing iterations used.
`fit`	list for use by `predict.smooth.spline`, with components knot: the knot sequence (including the repeated boundary knots). nk: number of coefficients or number of ‘proper’ knots plus 2. coef: coefficients for the spline basis used. min, range: numbers giving the corresponding quantities of `x`.
`call`	the matched call.

Note

The default all.knots = FALSE and nknots = NULL entails using only O(n^{0.2}) knots instead of n for n > 49. This cuts speed and memory requirements, but not drastically anymore since R version 1.5.1 where it is only O(nk) + O(n) where nk is the number of knots. In this case where not all unique x values are used as knots, the result is not a smoothing spline in the strict sense, but very close unless a small smoothing parameter (or large df) is used.

Author(s)

R implementation by B. D. Ripley and Martin Maechler (spar/lambda, etc).

This function is based on code in the GAMFIT Fortran program by T. Hastie and R. Tibshirani (http://lib.stat.cmu.edu/general/), which makes use of spline code by Finbarr O'Sullivan. Its design parallels the smooth.spline function of Chambers & Hastie (1992).

References

Chambers, J. M. and Hastie, T. J. (1992) Statistical Models in S, Wadsworth & Brooks/Cole.

Green, P. J. and Silverman, B. W. (1994) Nonparametric Regression and Generalized Linear Models: A Roughness Penalty Approach. Chapman and Hall.

Hastie, T. J. and Tibshirani, R. J. (1990) Generalized Additive Models. Chapman and Hall.

Examples

require(graphics)

attach(cars)
plot(speed, dist, main = "data(cars)  &  smoothing splines")
cars.spl <- smooth.spline(speed, dist)
(cars.spl)
## This example has duplicate points, so avoid cv=TRUE

lines(cars.spl, col = "blue")
lines(smooth.spline(speed, dist, df=10), lty=2, col = "red")
legend(5,120,c(paste("default [C.V.] => df =",round(cars.spl$df,1)),
               "s( * , df = 10)"), col = c("blue","red"), lty = 1:2,
       bg='bisque')
detach()


## Residual (Tukey Anscombe) plot:
plot(residuals(cars.spl) ~ fitted(cars.spl))
abline(h = 0, col="gray")

## consistency check:
stopifnot(all.equal(cars$dist,
                    fitted(cars.spl) + residuals(cars.spl)))

##-- artificial example
y18 <- c(1:3,5,4,7:3,2*(2:5),rep(10,4))
xx  <- seq(1,length(y18), len=201)
(s2  <- smooth.spline(y18)) # GCV
(s02  <- smooth.spline(y18, spar = 0.2))
(s02. <- smooth.spline(y18, spar = 0.2, cv=NA))
plot(y18, main=deparse(s2$call), col.main=2)
lines(s2, col = "gray"); lines(predict(s2, xx), col = 2)
lines(predict(s02, xx), col = 3); mtext(deparse(s02$call), col = 3)



## The following shows the problematic behavior of 'spar' searching:
(s2  <- smooth.spline(y18, control =
                      list(trace = TRUE, tol = 1e-6, low = -1.5)))
(s2m <- smooth.spline(y18, cv = TRUE, control =
                      list(trace = TRUE, tol = 1e-6, low = -1.5)))
## both above do quite similarly (Df = 8.5 +- 0.2)

[Package stats version 2.15.1 Index]