OrdMonReg (1.0.3)

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Compute least squares estimates of one bounded or two ordered isotonic regression curves.

http://www.ceremade.dauphine.fr/~fadoua
http://www.kasparrufibach.ch
http://www.math.u-psud.fr/~santambr/
http://cran.r-project.org/web/packages/OrdMonReg

We consider the problem of estimating two isotonic regression curves g1* and g2* under the constraint that they are ordered, i.e. g1* <= g2*. Given two sets of n data points y_1, ..., y_n and z_1, ..., z_n that are observed at (the same) deterministic design points x_1, ..., x_n, the estimates are obtained by minimizing the Least Squares criterion L(a, b) = sum_{i=1}^n (y_i - a_i)^2 w1(x_i) + sum_{i=1}^n (z_i - b_i)^2 w2(x_i) over the class of pairs of vectors (a, b) such that a and b are isotonic and a_i <= b_i for all i = 1, ..., n. We offer two different approaches to compute the estimates: a projected subgradient algorithm where the projection is calculated using a PAVA as well as Dykstra's cyclical projection algorithm.

Maintainer: Kaspar Rufibach
Author(s): Fadoua Balabdaoui, Kaspar Rufibach, Filippo Santambrogio

License: GPL (>= 2)

Uses: Does not use any package

Released about 3 years ago.


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