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st: Nonparametric estimation or smoothing with convexity imposed
From
"Powers, Nicholas" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Nonparametric estimation or smoothing with convexity imposed
Date
Thu, 5 May 2011 16:43:02 -0400
Hello,
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.
Thanks,
Nick
Nicholas E. Powers
Associate
The Brattle Group
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