Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down at the end of May, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Nick Cox <njcoxstata@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: out of sample lowess prediction |

Date |
Wed, 8 Aug 2012 00:16:21 +0100 |

I'd add an orthogonal comment. -lowess- was for a while my favourite scatter plot smoother, but it has been displaced in my affections. Some of its disadvantages are minor or trivial but they add up. 1. -lowess- is based on lots of regressions, and can be _very_ slow. 2. -lowess- as implemented in Stata is just one of several interpretations of the lowess method. This is a small problem when explaining what you did and/or comparing it with results from other software. 3. -lowess- can displease aesthetically because the results are often not smooth visually, leaving all shorts of minor irregularities. It is true that showing any main structure is the main purpose of a smoother, but it is also true that 4. Often -lowess- will agree with other smooths for "reasonable" problems, other smooths including restricted cubic splines and fractional polynomials. As these other smooths are typically much faster, are visually smooth in their result and leave some kind of model in their wake, they have definite advantages over lowess and no obvious disadvantage. Nick On Tue, Aug 7, 2012 at 5:34 PM, Nick Cox <njcoxstata@gmail.com> wrote: > Short answer is, I believe, No. Several issues of principle and practice are > bound up here. Sufficient to say that -lowess- is based on what is possibly > a very large number of regression results which would be impractical to > save. > > Nick > > > On 7 Aug 2012, at 16:42, Eric Lewis <erikylewis@gmail.com> wrote: > >> Dear all, >> >> This seems like a simple question, but I'm having a hard time finding >> a solution: Is it possible to do out of sample prediction with lowess? >> >> For example, here is some simple code where I'd like to generate out >> of sample predictions for even-numbered observations using data only >> from odd-numbered observations : >> >> * data generation >> clear >> set obs 11 >> gen x = . >> gen y = . >> forvalues i = 1(1)11 { >> replace x = `i' in `i' >> replace y = (`i')^2 in `i' if (floor((`i')/2) != ((`i')/2) ) >> * (only generates y variables for odd numbered x's) >> } >> * lowess -- local linear regression >> lowess y x, gen(new_y) >> list x y new_y >> >> > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: out of sample lowess prediction***From:*Eric Lewis <erikylewis@gmail.com>

**Re: st: out of sample lowess prediction***From:*Nick Cox <njcoxstata@gmail.com>

- Prev by Date:
**RE: st: comparing coefficients across models** - Next by Date:
**Re: st: how to have commands in a loop (over strings) shown in log files, without using nested quotes** - Previous by thread:
**Re: st: out of sample lowess prediction** - Next by thread:
**st: non-parametric test compare change over time** - Index(es):