lms.c File Reference

Least median of squares estimate for single data. More...

#include "libtpcmodel.h"

Go to the source code of this file.

Functions
double	least_median_of_squares (double *data, int n)
	Fit a constant (horisontal straight line) to the data by minimising the median of squared residuals.
int	lmsQSort (const void *par1, const void *par2)

Detailed Description

Least median of squares estimate for single data.

Author

Kaisa Sederholm, Vesa Oikonen

Definition in file lms.c.

Function Documentation

least_median_of_squares()

double least_median_of_squares	(	double *	data,
		int	n )

Fit a constant (horisontal straight line) to the data by minimising the median of squared residuals.

The algorithm is described in P.J. Rousseeuw: Least Median of Squares Regression, Journal of the American Statistical Association, Vol. 79, No. 388 (1984), 871-880.

Returns

Returns the LMS estimate.

Parameters

data	Data array
n	Number of data values

Definition at line 21 of file lms.c.

  {
  int i, odd=1, half=floor(n/2), smallnr;
  double small, *help;
  if(fmod((double)n, 2.0)<1e-99) odd=0;
  double *halfs_data;
 
  halfs_data=(double*)malloc((half+odd) * sizeof(double)); 
 
  help=data;
  /* sort data in ascending order*/
  qsort(help, n, sizeof(double), lmsQSort); 
 
  /* if n is even number */
  for(i=0; i<half+odd; i++) {
    halfs_data[i]=data[half+i]-data[i];
  }
 
  i=smallnr=0;
  for(i=1, small=halfs_data[0]; i<half+odd; i++) {
    if(halfs_data[i]<small) {
      small=halfs_data[i];
      smallnr=i;
    }
  }
 
  return (data[half+smallnr]+data[smallnr])/2.0;
}

lmsQSort()

int lmsQSort	(	const void *	par1,
		const void *	par2 )

Compares two numbers.

Returns

Returns -1 if value1<value2, 1 if value1>value2 and 0 otherwise.

Parameters

par1	value nr 1
par2	value nr 2

Definition at line 59 of file lms.c.

  {
  if( *((double*)par1) < *((double*)par2)) return(-1);
  else if( *((double*)par1) > *((double*)par2)) return(1);
  else return(0);
}

Referenced by least_median_of_squares().