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.

### See Also

`predict.smooth.spline` for evaluating the spline and its derivatives.

### 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]