How do I run an exponential nls with seasonal dummies in R?

问题

I'm having trouble with running an nls regression with seasonal dummies in R. I'm able to do it without the seasonal dummies, but not with. This is what I have so far:

year=floor(time(lsts))
> month=round(time(lsts)-year,4)
> month.f=factor(month)
> dummies=model.matrix(~month.f)
hotdogNLS<-nls(lsts~beta1/(1+exp(beta2+beta3*t)),start=list(beta1=2500,beta2=0.5,beta3=-0.5),trace=F)

summary(hotdogNLS)

Formula: lsts ~ beta1/(1 + exp(beta2 + beta3 * t))

Parameters:
        Estimate Std. Error t value Pr(>|t|)    
beta1  2.030e+03  5.874e+01   34.55   <2e-16 ***
beta2  1.146e+00  5.267e-02   21.76   <2e-16 ***
beta3 -1.116e-02  7.668e-04  -14.56   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 192.3 on 333 degrees of freedom

Number of iterations to convergence: 8 
Achieved convergence tolerance: 2.054e-06

How do I include seasonal dummies? Thanks!

回答1:

I don't think dummies are implemented for nls like they are in glm due to the fact that "formula" for nls is a real mathematical formula unlike for glm.

You can nevertheless specify if a parameter must be assessed separately for each class of a dummy:

    data(cars)
    # define the dummy
    cars$dummy <- as.factor(LETTERS[1:5])
    # code as 0/1 the dummy with a column per dummy level
    cars$A<- as.numeric(cars$dummy=="A")
    cars$B<- as.numeric(cars$dummy=="B")
    cars$C<- as.numeric(cars$dummy=="C")
    cars$D<- as.numeric(cars$dummy=="D")
    cars$E<- as.numeric(cars$dummy=="E")

    # precise in the formula where the dummy level should play out
    # here in the intercept:
    model <- nls(dist~beta1*speed^beta2+beta3*A+beta4*B+beta5*C+beta6*D+beta7*E,data=cars)

    model

    Nonlinear regression model
      model: dist ~ beta1 * speed^beta2 + beta3 * A + beta4 * B + beta5 * C + beta6 * D + beta7 * E
      data: cars
      beta1   beta2   beta3   beta4   beta5   beta6   beta7 
      0.2069  1.8580  2.8266  5.3973 13.0002  9.3539  2.5361 
      residual sum-of-squares: 10040

      Number of iterations to convergence: 8 
      Achieved convergence tolerance: 4.924e-06

回答2:

You can use the factor to subset the estimated coefficient like alpha[dummy].

data(cars)
cars$dummy <- as.factor(LETTERS[1:5])

nls(dist ~ alpha[dummy] + beta1*speed^beta2, data=cars, start=list(beta1=.2, beta2=3, alpha=rep(10, nlevels(cars$dummy))))
#Nonlinear regression model
#  model: dist ~ alpha[dummy] + beta1 * speed^beta2
#   data: cars
#  beta1   beta2  alpha1  alpha2  alpha3  alpha4  alpha5 
# 0.2069  1.8580  2.8264  5.3971 13.0000  9.3537  2.5359 
# residual sum-of-squares: 10040
#
#Number of iterations to convergence: 12 
#Achieved convergence tolerance: 2.372e-06

来源：https://stackoverflow.com/questions/29176766/how-do-i-run-an-exponential-nls-with-seasonal-dummies-in-r

标签

regression

nls