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Re: st: Nonparametric estimation or smoothing with convexity imposed


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nonparametric estimation or smoothing with convexity imposed
Date   Fri, 6 May 2011 06:08:45 +0100

Henderson and Parmenter (2009): please supply full reference.

Nick

On Thu, May 5, 2011 at 9:43 PM, Powers, Nicholas <Nicholas.Powers@brattle.com>

> I have a question that I just wanted to run by this group before reinventing the wheel, in case someone here had done something similar.
>
> My data consists of Y-X pairs where Y is a (weakly) increasing (and unknown) function of X.  I need to smooth the data using numerical smoothing techniques, such that I generate a function (or at least smoothed values of Y) where Y is not only (weakly) increasing in X but is also weakly convex.  The lowess command comes close, but does not allow me to impose convexity.  I have a couple of ideas (and have seen Henderson and Parmeter 2009), but they will be somewhat labor-intensive.  If anyone is aware of a user-written Stata program that might make this easier on me, please let me know.
>

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