ctsub

ctsub computes numerical integration from x(1) to z(i) of y=f(x).

Syntax

Description

For a function defined $y=f(x)$ with $n$ pairs $(x_1,y_1)$ $\ldots$ $(x_n,y_n)$, with $x_1 \leq x_2 \leq, \ldots, \leq x_n$ this routine computes the (approximate) integral using the trapezoidal rule \[ a_i = \int_{x_1}^{z_i} f(x) dx \] For further details see "more about".

example

a =ctsub(x, y, z) Transform a linear relation.

Examples

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  • Transform a linear relation.
  • n=1000;
    x=sort(randn(n,1))+10;
    y=1+2*x+ randn(n,1);
    % y(50:70)=-5;
    z=randn(n,1);
    a=ctsub(x,y,z);
    subplot(2,1,1)
    plot(x,y)
    subplot(2,1,2)
    plot(x,a)

    Related Examples

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  • Comparison with MATLAB function cumtrapz.
  • x=sort(randn(n,1));
    y=randn(n,1);
    % If the third argument of ctsub is equal to the first
    % argument then the output of cumtraps and ctsub is exactly the same.
    res=cumtrapz(x,y);
    res1=ctsub(x,y,x);
    disp(max(abs(res-res1)))

  • Apply ctsub to heteroskedastic data.
  • n=1000;
    x=10*sort(randn(n,1))+10;
    % The variance of y depends on x.
    y=1+1*x+ 10*x.*randn(n,1);
    % Upper limits of integration.
    z=rand(n,1)*100-50;
    a=ctsub(x,y,z);
    subplot(2,1,1)
    plot(x,y)
    title('Original data')
    subplot(2,1,2)
    plot(x,a)
    title('Transformed data after the variance stabilizing transformation')

    Input Arguments

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    x — Predictor variable sorted. Vector.

    Vector of length n containing ordered abscissa values.

    Note that the x values are assumed non decreasing.

    Data Types: single| double

    y — Response variable. Vector.

    Vector of length n containing ordinate values.

    Data Types: single| double

    z — Upper limits of integration. Vector.

    Vector of length n containing the upper integration limits.

    Data Types: single| double

    Output Arguments

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    a —Result of numerical integration. Vector

    Vector of length n containing the results of the n numerical integrations.

    The $i$-th element of $a_i$ with $i=1, 2, \ldots, n$ is equal to:

    \[ a_i = \int_{x_1}^{z_i} f(x) dx \]

    More About

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    Additional Details

    This function estimates the integral of Y via the trapezoidal method.

    For a function defined $y=f(x)$ with $n$ pairs $(x_1,y_1)$ $\ldots$ $(x_n,y_n)$, with $x_1 \leq x_2 \leq, \ldots, \leq x_n$, if $x_i<z_i \leq x_{i+1}$, $i=1, \ldots, n-1$, this routine computes the (approximate) integral using the trapezoidal rule:

    \[ a_i = \int_{x_1}^{z_i} f(x) dx \] More precisely \begin{equation}\label{ai} a_i= \sum_{j=2}^{i} 0.5 (x_j-x_{j-1})(y_j+y_{j-1}) +0.5 (z_i-x_i) \left\{ 2y_i+(z_i-x_i) \frac{y_{i+1}-y_i}{x_{i+1}-x_i} \right\} \end{equation} The last term of the equation is the area of the trapezoid with coordinates $(x_i, y_i)$,$(z_i, f(z_i))$ and \[ f(z_i)=y_i+(z_i-x_i) \frac{y_{i+1}-y_i}{x_{i+1}-x_i} \]

    is found by linear interpolation.

    If $z_i>x_n$ the function for $x > x_n$ is assumed constant and equal to $y_n$ therefore to the expression of $a_i$ computed as described above we must add $(z_i-x_n) y_n$.

    On the other hand, if $z_i<x_1$ the function for $x<x_1$ is assumed constant and equal to $y_1$ therefore $a_i$ is computed as:

    \[ a_i = -(x_1-z_i) y_1 \]

    Note that $a_i$ in this last case (if $y_1$ is positive) becomes negative.

    This routine in called in every step of the outer loop by function avas in order to compute a new set of transformed values for the response which have approximately constant variance.

    Inside avas, the $x$ coordinates are the fitted values ordered, the $y$ coordinates are the reciprocal of the smoothed absolute values of residuals sorted using the ordering of fitted values, while the upper values of the range of integration are given by the elements of vector $ty$ sorted using the ordering of fitted values. The output is the new vector $ty$ with the elements ordered using $ordyhat$.

    References

    Tibshirani R. (1987), Estimating optimal transformations for regression, "Journal of the American Statistical Association", Vol. 83, 394-405.

    See Also

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