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: gam
See also: intest intestpl gintest gintestpl backfit

Macro: wavetest
Description: Additive component analysis in additive separable models using wavelet estimation. An additive component can be tested against a given polynomial form with degree p, e.g. when p is set to zero we test for significant influence of that component. For details see Haerdle, Sperlich, Spokoiny (1997).

Usage: erg = wavetest(x,y,p{,dis{,levels{,data{,adjust}}}})
Input:
x n x p matrix , the observed explanatory variable where the 'dis' last columns are expected to be dummy variables
y n x 1 matrix , the observed response variable
p scalar , the polynomial degree of the Hypothesis
dis scalar , the number of dummy variables
levels (p-dis) x 1 vector, wavelet levels for the components
data string , if output of the estimates is wished, the name of the output file
adjust 2 x 1 vector , multiplicators for a part of the criticalvalues (0.5 , 1) give about 5% first kind error, (1, 2.5) give about 1%, default is (1, 1)
Output:
erg objekt of string, the table of results
data data file , containing the wavelet estimates

Example:
library("gam")
n   = 100
randomize(1234)
x   = normal(n,3)
eps = normal(n,1) * sqrt(0.8)
y   = sin(2*x[,1]) + x[,2]^2 + 2*x[,3] +eps
p   = 1
erg = wavetest(x,y,p)
Result:
table of results

Library: gam
See also: intest intestpl gintest gintestpl backfit

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

Author: Sperlich 970730
(C) MD*TECH Method and Data Technologies, 28.6.1999