Compute Least Squares Estimates of One Bounded or Two Ordered Isotonic Regression Curves

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.


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install.packages("OrdMonReg")

1.0.4 by Kaspar Rufibach, 5 months ago


https://people.math.ethz.ch/~fadouab/, http://www.kasparrufibach.ch, https://math.univ-lyon1.fr/~santambrogio/


Browse source code at https://github.com/cran/OrdMonReg


Authors: Fadoua Balabdaoui [aut] , Kaspar Rufibach [aut, cre] , Filippo Santambrogio [aut]


Documentation:   PDF Manual  


GPL (>= 2) license



See at CRAN