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\title{Package \texttt{crs} FAQ} \date{\today} \author{Jeffrey S.~Racine}

\begin{document}

\maketitle

\tableofcontents

\onehalfspacing

\section{Overview and Current Version}

This set of frequently asked questions is intended to help users who
are encountering unexpected or undesired behavior when trying to use
the \texttt{crs} package.

If you encounter any issues with the \texttt{crs} package, kindly
first ensure that you have the most recent version of \texttt{crs},
\texttt{R}, and \texttt{RStudio} (if appropriate) installed. Sometimes
issues encountered using outdated versions of software have been
resolved in the current versions, so this is the first thing one ought
to investigate when the unexpected occurs.

Having ensured that the problem persists with the most recently
available versions of all software involved, kindly report any issues
you encounter to me, and please include your code, data, version of
the \texttt{crs} package and version of \texttt{R} used so that I can
help track down any such issues
(\href{mailto:racinej@mcmaster.ca}{racinej@mcmaster.ca}). And, of
course, if you encounter an issue that you think might be of interest
to others, kindly email me the relevant information and I will
incorporate it into this FAQ.

This FAQ refers to the most recent version, which as of this writing
is 0.15-34. Kindly update your version should you not be using the
most current (from within R, \texttt{update.packages()} ought to do
it, though also see \ref{update} below.). See the appendix in this
file for cumulative changes between this and previous versions of the
\texttt{crs} package.

\section{Frequently Asked Questions}

\subsection{How do I cite the \texttt{crs} package?}

Once you have installed the \texttt{crs} package ({\tt
  install.packages("crs")}), if you load the \texttt{crs} package ({\tt
  library("crs")}) and type \texttt{citation("crs")} you will
be presented with the following information.

  \begin{singlespacing}
\begin{verbatim}
> citation("crs")

To cite package 'crs' in publications use:

  Jeffrey S. Racine and Zhenghua Nie (2018). crs: Categorical
  Regression Splines. R package version 0.15-31.
  https://github.com/JeffreyRacine/R-Package-crs/

A BibTeX entry for LaTeX users is

  @Manual{,
    title = {crs: Categorical Regression Splines},
    author = {Jeffrey S. Racine and Zhenghua Nie},
    year = {2018},
    note = {R package version 0.15-31},
    url = {https://github.com/JeffreyRacine/R-Package-crs/},
  }
\end{verbatim}
  \end{singlespacing}

\subsection{I have never used \texttt{R} before. Can you direct me to some
    introductory material that will guide me through the basics?}

  There are many excellent introductions to the \texttt{R} environment
  with more on the way. First, I would recommend going directly to the
  \texttt{R} website (\url{http://www.r-project.org}) and looking under
  Documentation/Manuals (\url{http://cran.r-project.org/manuals.html})
  where you will discover a wealth of documentation for \texttt{R} users
  of all levels. See also the \texttt{R} task views summary page
  (\url{http://cran.r-project.org/web/views}) for
  information grouped under field of interest. A few documents that I
  mention to my students which are tailored to econometricians include
  \url{http://cran.r-project.org/doc/contrib/Verzani-SimpleR.pdf},
  Cribari-Neto \& Zarkos (1999) \cite{CRIBARI_NETO_ZARKOS:1999},
  Racine \& Hyndman (2002) \cite{RACINE_HYNDMAN:2002} and Farnsworth
  (2006) \cite{FARNSWORTH:2006}, to name but a few.

  Those looking for exemplar data sets outside of those contained in
  the \texttt{crs} package are directed to the \texttt{Ecdat} \cite{Ecdat}
  and \texttt{AER} \cite{AER} packages.

  I maintain a 'Gallery' to provide a forum for users to share code
  and discover examples and illustrations which can be found at
  \url{http://socserv.mcmaster.ca/racinej/Gallery/Home.html}.

  Often the best resource is right down the hall. Ask a colleague
  whether they use or know anyone who uses R, then offer to buy that
  person a coffee and along the way drop something like "I keep
  hearing about the \texttt{R} project\dots I feel like such a
  Luddite\dots"

  \subsection{\label{update}How do I keep all \texttt{R} packages on my
    system current?}

  Run the command \texttt{update.packages(checkBuilt=TRUE,ask=FALSE)},
  which will not only update all packages that are no longer current,
  but will also update all packages built under outdated installed
  versions of R, if appropriate.

\subsection{It seems that there are a lot of packages that must be
    installed in order to conduct econometric analysis (tseries,
    lmtest, np, etc.). Is there a way to avoid having to individually
    install each package individually?}

  Certainly. The Comprehensive R Archive Network (CRAN) is a network
  of ftp and web servers around the world that store identical,
  up-to-date, versions of code and documentation for \texttt{R}.  The
  CRAN 'task view' for computational econometrics might be of
  particular interest to econometricians.  The econometric task view
  provides an excellent summary of both parametric and nonparametric
  econometric packages that exist for the R environment and provides
  one-stop installation for these packages.

See
\href{http://cran.r-project.org/web/views/Econometrics.html}{cran.r-project.org/web/views/Econometrics.html} for further information.

To automatically install a task view, the \texttt{ctv} package first
needs to be installed and loaded, i.e.,
\begin{verbatim}
install.packages("ctv")
library("ctv")
\end{verbatim}

The econometric task view can then be installed via {\tt
  install.views()} and updated via \texttt{update.views()} (which first
assesses which of the packages are already installed and up-to-date), i.e.,
\begin{verbatim}
install.views("Econometrics")
\end{verbatim}
or
\begin{verbatim}
update.views("Econometrics")
\end{verbatim}

\subsection{Is there a 'gentle guide' to the \texttt{crs} package that
    contains some easy to follow examples?}

  Perhaps the most gentle introduction is contained in the \texttt{crs}
  package itself in the form of a 'vignette'. To view the vignette run
  R, install the \texttt{crs} package (\texttt{install.packages("crs")}), then
  type \texttt{vignette("crs",package="crs")} to view or print the vignette.

  See also \texttt{vignette("spline\_primer",package="crs")} for a vignette
  that presents a 'gentle' introduction to regression splines.

  For a listing of all routines in the \texttt{crs} package type: {\tt
    library(help="crs")}.

\subsection{I noticed you have placed a new version of the \texttt{crs}
    package on CRAN. How can I determine what has been changed,
    modified, fixed etc?}

  See the CHANGELOG on the CRAN site
  (\url{http://cran.r-project.org/web/packages/crs/ChangeLog}), or go
  to the end of this document where the CHANGELOG is provided for your
  convenience.

\subsection{How can I read data stored in various formats such as
    Stata, SAS, Minitab, SPSS etc.~into the R program?}

  Install the foreign library via \texttt{install.packages("foreign")}
  then do something like
  \begin{singlespacing}
\begin{verbatim}
mydat <- read.dta("datafile.dta"),
\end{verbatim}
  \end{singlespacing}
  where \texttt{datafile.dta} is the name of your Stata data file. Note
  that, as of version 0.8-34, the foreign package function {\tt
    read.dta} supports reading files directly over the Internet making
  for more portable code. For instance, one could do something like
\begin{verbatim}
mydat <- read.dta(file="http://www.principlesofeconometrics.com/stata/mroz.dta")
\end{verbatim}
as one could always do with, say, \texttt{read.table()}.

\subsection{Where can I get some examples of R code for the crs
  package in addition to the examples in the help files?}

Start \texttt{R} then type \verb+demo(package="crs")+ and you will be
presented with a list of demos for constrained estimation, inference,
and so forth. To run one of these demos type, for example,
\verb+demo(radial_rgl)+ (note that you must first install the {\tt
  rgl} package to run this particular demo).

To find the location of a demo type
\verb+system.file("demo","radial_rgl.R",package="crs")+ for example,
then you can take the source code for this demo and modify it for your
particular application.

\subsection{Can I use crs to perform linear regression?}

Certainly! Simply use the options \texttt{cv="none"},
\texttt{degree=rep(1,q)} and \texttt{segments=rep(1,q)} where
\texttt{q} is the number of continuous predictors and
\texttt{kernel=FALSE} as per the following example:
\begin{verbatim}
n <- 1000
x1 <- runif(n)
x2 <- runif(n)
z1 <- rbinom(n,1,.1)
z2 <- rbinom(n,1,.1)
y <- x1+x2^2+z1+z2+rnorm(n)
z1 <- factor(z1)
z2 <- factor(z2)
model.lm <- lm(y~x1+x2+z1+z2)
summary(model.lm)
model.crs <- crs(y~x1+x2+z1+z2,cv="none",kernel=FALSE,degree=rep(1,2),segments=rep(1,2))
summary(model.crs)
\end{verbatim}

You will note that the summary statistics are identical for each
model. Also, when conducting search the initial values are set so that
the first model estimated is linear (albeit with \texttt{kernel=TRUE}
by default) so if the linear model is optimal it will be the one
chosen by cross-validation in probability.

\subsection{I would like more/less information displayed when
  conducting search using the NOMAD routines\dots}

This is accomplished by feeding the argument {\tt
  opts=list("DISPLAY\_DEGREE"=x)} to \texttt{crs} where x is a
non-negative integer. Setting x=0 produces no information whatsoever
while integers $x\ge1$ provide successively more information.

\subsection{\texttt{crs} consumes a lot of memory when conducting
  cross-validation via NOMAD. Can I control this?}

By default, the minimum degrees of freedom possible is set to $n-k=1$
where $n$ is the sample size and $k$ is the trace of the basis
matrix. This is done in order to allow for extremely complex
relationships to be estimated. But for some situations one might not
want to 'go there' for two reasons, namely a) memory consumption and
b) improbable models having nearly as many predictors as observations.

During the search process if you have a large number of predictors and
a large number of observations, you will end up computing models
having a minuscule number of degrees of freedom and, when this occurs,
the basis function may well consume an inordinate amount of
memory. Plus the final model determined by the search process may well
end up being much more parsimonious. By way of illustration if
\texttt{n=100000}, \texttt{k=20}, \texttt{degree.max=10}, and
\texttt{segments.max=10} you will likely compute models with spline
bases of dimension \texttt{100000x99999} when conducting
cross-validated search (i.e.\ models that hit the minimum number of
degrees of freedom).

In such cases you might wish to restrict the minimum degrees of
freedom via setting \texttt{cv.df.min=n-j} where \texttt{n} is your
sample size and \texttt{j} is, say, \texttt{1000} so that the maximum
dimension of the B-spline would be less than or equal to \texttt{j}
(e.g.\ the maximum dimension of the spline basis would now be
\texttt{100000x1000}). Of course, you ought to make sure that your
final model does not hit this bound as this would indicate that
imposing this restriction is binding on the search process which is of
course undesirable.

\subsection{When I have a large number of regressors/data the function {\tt
    crs} just 'sits there' when conducting cross-validation via NOMAD\dots}

First, if you are concerned that the code is indeed just 'sitting
there', you can verify that search is progressing by changing the
\verb+"DISPLAY_DEGREE"+ setting in the opts list along the lines of
the following:
\begin{verbatim}
opts <- list("MAX_BB_EVAL"=10000,
             "EPSILON"=.Machine$double.eps,
             "INITIAL_MESH_SIZE"="r1.0e-01",
             "MIN_MESH_SIZE"=paste("r",sqrt(.Machine$double.eps),sep=""),
             "MIN_POLL_SIZE"=paste("r",sqrt(.Machine$double.eps),sep=""),
             "DISPLAY_DEGREE"=3)

model <- crs(...,opts=opts)
\end{verbatim}
will print out in gory detail exactly what the search engine is doing.

However, if this reveals that there something odd going on (i.e.\ you
are seeing a lot of \verb+inf+ function values being printed out),
then you might wish to begin by restricting the dimension of the
combinatoric search process. By default \texttt{degree.max=10} for each
predictor and \texttt{segments.max=10} as well. So this can lead to a
basis with 21 columns for one predictor and when using {\tt
  basis="tensor"} or \texttt{basis="auto"} (which computes both the
tensor and additive bases) the dimension of the basis can swamp the
number of observations in the sample (e.g.\ with 4 regressors we can
have a tensor product multivariate basis that has up to
\verb+21^4=194481+ columns when using the default \texttt{degree.max=10}
for each predictor and \texttt{segments.max=10}). For this illustration,
the cross-validation function can approach $\infty$ if the sample size
approaches \verb+194491+ from above and the search process will be
searching for a non-$\infty$ value in order to proceed or terminate.

So, in such cases begin by restricting the dimension of the spline
basis matrix by setting, for instance, the minimum degrees of freedom
via \texttt{cv.df.min=n-j} where \texttt{n} is your sample size and
\texttt{j=500} so that the maximum dimension of the B-spline would be
less than or equal to \texttt{j}. Or you can restrict the dimension of
the spline basis matrix by setting, for instance, \texttt{degree.max=2}
and \texttt{segments.max=2}. Or begin by searching only over the spline
degree by setting \texttt{complexity="degree"} (the default is {\tt
  complexity="degree-knots"}). The routine will throw a warning if you
have a solution that hits the maximum value of \texttt{degree.max} or
\texttt{segments.max} and offer some practical advice in these cases.

Alternatively, restrict attention to additive (semiparametric) splines
by setting \texttt{basis="additive"} (e.g.\ with 4 regressors we can have
a tensor product multivariate basis that has up to \verb+21x4=84+
columns when using the default \texttt{degree.max=10} for each predictor
and \texttt{segments.max=10}) at the cost of imposing additivity which
can be restrictive.

Alternatively, consider kernel regression that does not suffer from
this computational limitation (see e.g.\ the \texttt{np} package).

\subsection{\label{nonsmooth}My estimated model is not 'smooth' (e.g.\ cross-validation
  chooses, say, the spline degree=1 and number of segments=3). How can
  I modify this?}

Unlike, say, smoothing splines \cite{WAHBA:1990} that penalize
'roughness' (the second derivative of the estimate) and fix the spline
degree at, say, three, regression splines fitted by cross-validation
can deliver a model that minimizes the objective function without
regard to an ad hoc proxy for smoothness (a strength, not a weakness
in my opinion).

\begin{enumerate}

\item\label{all rel} \texttt{All Predictors Relevant}: If, however,
  you wish an estimate that is, say, twice continuously
  differentiable, simply set \texttt{degree.min=3} (one degree higher
  than the desired degree of smoothness) and then determine the
  appropriate model via cross-validation subject to this constraint
  (i.e.\ re-estimate your model with the option \texttt{degree.min=3}
  for example). Otherwise, you can simply override what
  cross-validation delivered via \texttt{cv="none"} and
  \texttt{degree=c(3,3,...)} etc. (i.e.\ set the degree and segments
  in an ad-hoc fashion, which I would not recommend). Of course, this
  will not be optimal according to the cross-validation criterion but
  will achieve the desired degree of smoothness.

\item \texttt{Some Predictors Irrelevant}: In some cases the optimal
  spline degree will be zero or bandwidth one or inclusion indicator
  zero (the latter occurring when \texttt{kernel=FALSE} is
  specified). This means that cross-validation has automatically
  removed one or more variables.

In this case first remove these variables from the model to be
estimated, then re-run your model on the subset of relevant variables
only but following the advice in \eqref{all rel} which will achieve
the desired degree of smoothness subject to the irrelevant variables
no longer being present in the final model.

\end{enumerate}

\subsection{The crs package implements 'regression splines' and
  optimizes the spline degree and knot vector by default. But
  'smoothing splines' \cite{WAHBA:1990} typically set the degree to
  'cubic' and penalize roughness. Can we use \texttt{crs()}
  (i.e.\ regression splines) to mirror the cubic smoothing spline
  approach?}

Certainly. Consider the following illustration:

\begin{verbatim}
library(crs)
data(cps71)
attach(cps71)

model <- crs(logwage~age)
summary(model)
\end{verbatim}

You can see that cross-validating both the spline degree and number of
knots chooses a degree 2 spline for age and, as a consequence,
\texttt{plot(model,deriv=1)} produces a derivative that is nonsmooth
(i.e.\ piecewise linear). If one preferred to mirror the cubic spline
approach (or for that matter, any fixed order spline), then the
following will optimize knots only holding the degree constant at,
say, 3 (and will, in general, be faster to solve since we optimize
over fewer smoothing parameters).

\begin{verbatim}
model <- crs(logwage~age,complexity="knots",degree=3)
summary(model)
\end{verbatim}

This model uses a higher degree than the previous one that optimized
both the degree and number of knots, but fewer knots. However, note
that the cross-validation function is minimized (i.e.\ improved) for
the model that optimizes both the degree and number of knots hence
this latter model is optimal according to the cross-validation
criterion. See also \ref{nonsmooth} above for further caveats.

\subsection{I estimated a parametric model using the lm()
  function. How can I compare the cross-validation score from the
  crs() approach with that for the parametric model?}

This can be readily achieved for the parametric model as follows:
\begin{verbatim}
data(wage1)
model.lm <- lm(lwage ~ married + female + nonwhite + educ + 
               exper + tenure, data = wage1)
cv.lm <- mean(residuals(model.lm)^2/(1-hatvalues(model.lm))^2)
cv.lm
\end{verbatim}
You can then compare this with that for the \verb+crs+ model. If the
cross-validation score is lower for one model, that indicates that the
model possessing the lowest score is to be preferred.

\subsection{Why do some runs result in a function value of
  1.340781e+154 when conducting multistarting?}

As of version 0.15-1 we conduct extensive testing for ill-conditioned
bases (univariate and multivariate) and adjust search limits
accordingly. However, when a multivariate basis is ill-conditioned we
apply a large penalty (\verb+sqrt(.Machine$double.xmax)+ which equals
1.340781e+154 on most processors). Though the search process will try
to detect a minimum it can fail here if the objective function is
'flat' in a neighborhood of the initial values.

When this occurs you can either increase \verb+nmulti+ and/or decrease
\verb+degree.max+ and restart the search.

Alternatively, you might try \verb+singular.ok=TRUE+.

Note also that as of version 0.15-1, the initial search values will be
degree one and segment one (i.e.\ a linear model) unless you provide
the vectors \verb+degree=c(...)+ and \verb+segments=c(...)+ which will
then be used instead as the starting values for the first multistart.

\subsection{snomadr appears to be crashing}

If you receive the message 
\begin{verbatim}
Calling NOMAD (Nonsmooth Optimization by Mesh Adaptive Direct Search)

 *** caught segfault ***
address 0x68, cause 'memory not mapped'

Traceback:
 1: .Call(smultinomadRSolve, ret)
\end{verbatim}
kindly first ensure that you have write privileges in your current
directory (\texttt{snomadr} creates temporary files in the current
working directory and if this operation fails you may receive this
error).

Note this should not occur when using version 0.15-13 or higher since
temporary files are no longer generated.

\subsection{How do I estimate the conditional quantile rather than
  the conditional mean?}

Simply specify the option \texttt{tau=0.5} to estimate the conditional
median regression spline, or any quantile you choose to specify where
$\tau\in(0,1)$, as in
\begin{verbatim}
model <- crs(y~x1+x2,tau=0.5)
\end{verbatim}
See also \texttt{demo(cqrs)} for a demonstration.

\subsection{How can I save a PDF of a plot created with the option
  persp.rgl=TRUE?}

Version 0.15-1 has added support for \verb+RGL+ via the \verb+rgl+
package which is a 3D real-time rendering device driver system for R
using OpenGL. These plots are dynamic so you can spin them and resize
them using your keypad/mouse. However, they are not standard graphics
objects that can be saved using R commands such as \verb+pdf()+. But
they can be saved as a PDF by first calling rgl and then issuing the
command \verb+rgl.postscript("foo.pdf","pdf")+ where \verb+foo.pdf+ is
the desired name of your PDF file as the following illustrates:
\begin{verbatim}
n <- 1000
x1 <- sort(rnorm(n))
x2 <- rnorm(n)
y <- x1^3 + rnorm(n,sd=.1)
model <- crs(y~x1+x2)
plot(model,mean=T,persp.rgl=T)
rgl.postscript("foo.pdf","pdf")
\end{verbatim}
However, this pdf driver does not support some features such as
transparency etc. A better alternative is to create a \verb+png+ file
as follows:
\begin{verbatim}
n <- 1000
x1 <- sort(rnorm(n))
x2 <- rnorm(n)
y <- x1^3 + rnorm(n,sd=.1)
model <- crs(y~x1+x2)
plot(model,mean=T,persp.rgl=T)
rgl.snapshot("foo.png")
\end{verbatim}
and then include this in your \LaTeX\ document using
\verb+\includegraphics[scale=.5]{foo.png}+.

\subsection{Is it possible to use B-splines instead of indicator bases
  or kernel weighting for discrete predictors?}

Providing the discrete predictors are numeric, certainly. Just make
sure they are of type numeric and they will be treated the same as
continuous predictors, as in the following example.
\begin{verbatim}
n <- 1000
x <- runif(n,-2,2)
z <- rbinom(n,1,.5)
y <- x^3 + z + rnorm(n,sd=.1)
model <- crs(y~x+z)
summary(model)
\end{verbatim}
Note in summary that you are told 'There are 2 continuous predictors'
(i.e.\ numeric predictors). Note also that the message 'optimal degree
equals search maximum (10): rerun with larger degree.max optimal
degree equals search maximum (1): rerun with larger degree.max' will
appear simply because the default maximum degree is 10 but the program
automatically checks for the maximum \textsl{well-conditioned} basis
which, for the binary numeric predictor, is 1 (you can ignore this
message here).

\subsection{I have noticed that as more categorical predictors are
  added or as the number of outcomes for each categorical predictor
  increases, computation time increases when \texttt{kernel=TRUE}. Why
  is this so and can anything be done?}

When \texttt{kernel=TRUE} we need to compute kernel weighted
regression for each unique combination of the categorical
predictors. So if you have one binary predictor, estimation involves
two calls to the weighted least squares solver. Now suppose that you
have three categorical predictors each having $c=10$ outcomes. Now
estimation involves $10^3=1000$ calls to the weighted least squares
solver. This will affect all aspects of estimation (cross-validation
etc.) which results in increases in computation time.

As of version 0.15-8 and up, you can potentially reduce computation
time {\em when you have categorical predictors} by discretizing the
bandwidth \texttt{lambda} (when \texttt{lambda.discrete=TRUE} we
divide $\texttt{lambda}\in [0,1]$ into \texttt{lambda.discrete.num=100
  (+1)} values, $(0/100,1/100,\dots,100/100)$) so that integer
(discrete) search via NOMAD will be undertaken rather than continuous
search which is done by setting \texttt{lambda.discrete=TRUE}. This
can potentially reduce run-time with little expected loss in accuracy
for the cross-validated search procedure. However, when there are many
categorical predictors each having $>2$ outcomes, search based on
\texttt{lambda.discrete=TRUE} may be more likely to become ensnared in
local minima than the default (i.e.\ properly treating the bandwidths
for the categorical predictors as continuous).

To reduce computation time further, you can also decrease the number
of times search is restarted from different (random) starting points
by setting \texttt{nmulti=$i$} to $i<5$ (the default is 5) but I would
caution against doing this except when conducting exploratory data
analysis (the objective function is typically nonsmooth and may
possess multiple local minima).

\subsection{The R function 'lag()' does not work as I expect it
  to. How can I create the $l$th lag of a numeric variable in R to be
  fed to functions in the \texttt{crs} package?}

You can use the \texttt{embed} function to accomplish this task. Here
is a simple function that might work more along the lines that you
expect. By default we 'pad' the vector with NAs but you can switch
this to \texttt{FALSE} if you prefer. The function will return a
vector of the same length as the original vector with NA's padded for
the missing values.

\begin{verbatim}
lag.numeric <- function(x,l=1,pad.NA=TRUE) {
  if(!is.numeric(x)) stop("x must be numeric")
  if(l < 1) stop("l (lag) must be a positive integer")
  if(pad.NA) x <- c(rep(NA,l),x)
  return(embed(x,l+1)[,l+1])
}
x <- 1:10
x.lag.1 <- lag.numeric(x,1)
\end{verbatim}

\subsection{How can I turn off all console I/O?}

To disable all console I/O, set \texttt{options(crs.messages=FALSE)}
and wrap the function call in \texttt{suppressWarnings()} to disable any
warnings printed to the console. For instance
\begin{verbatim}
library(crs)
options(crs.messages=FALSE)
set.seed(42)
n <- 100
x <- sort(rnorm(n))
z <- factor(rbinom(n,1,.5))
y <- x^3 + rnorm(n)
model.crs <- suppressWarnings(crs(y~x+z))
\end{verbatim}
ought to produce no console I/O whatsoever in the call to
\texttt{crs}.

Note that for direct calls to \texttt{snomadr} you instead need to set
\texttt{opts=list("DISPLAY\_DEGREE"=0)} (see \texttt{?snomadr} for
details).

\subsection{How can I retrieve knots used for each predictor when
  knots are selected via cross-validation}

 
It depends on whether you use uniform or quantile knots. If you have a
model with two predictors and you are using uniform knots, for the
first predictor (presumed to be named \texttt{x1}) the knots will be
\begin{verbatim} 
seq(min(x1),max(x1),length=model$segments[1]+1)
\end{verbatim}
while if you are using quantile knots the knots will be
\begin{verbatim} 
quantile(x1,probs=seq(0,1,length=model$segments[1]+1))
\end{verbatim}
For the second predictor use \texttt{x2} and
\texttt{model\$segments[2]} and so forth.

\bibliographystyle{plain} \bibliography{crs_faq}

\clearpage

\appendix

\section*{Changes from Version 0.15-33 to 0.15-34 [30-Mar-2022]}

\begin{itemize}

\item Fixed warnings flagged on CRAN (thanks Zhenghua!)

\begin{itemize}

\item snomadr.cpp:374:60: warning: void operator delete(void*, std::size\_t) called on pointer returned from a mismatched allocation function [-Wmismatched-new-delete]

\item nomad\_src/Sgtelib\_Model\_Search.cpp:957:43: warning: array subscript -1 is outside array bounds of bool [2147483647] [-Warray-bounds]]

\end{itemize}

\item Additional casting of x as \texttt{as.matrix()} in \texttt{is.fullrank()}

\end{itemize}

\section*{Changes from Version 0.15-32 to 0.15-33 [02-Feb-2021]}

\begin{itemize}

\item Updated NOMAD to version 3.9.1 (thanks Zhenghua!)

\item Removed dependency on C++11 \texttt{random\_shuffle} per
  recommendation from R development team (thanks Zhenghua!)
  
\item Followed R core team request to ``Please move \texttt{rgl} to Suggests and use conditionally (see 1.1.3.1 of Writing R Extensions) at the next package update''
  
\end{itemize}

\section*{Changes from Version 0.15-31 to 0.15-32 [19-Nov-2019]}

\begin{itemize}

\item Corrected return value for \texttt{mgcv\_tmm()} (was void, not valid address of R object)

\item Added \texttt{crs.messages=FALSE} capabilities to \texttt{clsd()}

\end{itemize}

\section*{Changes from Version 0.15-30 to 0.15-31 [01-May-2018]}

\begin{itemize}

\item \texttt{basis="auto"} was default, doc/code discrepancy fixed

\item Hattip to Thibault Vatter who patched an issue with weights not being functional in crsiv.R

\item Fixed issue with compiler compliance to support ICC and retain backwards compatability with MSVC C++

\end{itemize}

\section*{Changes from Version 0.15-29 to 0.15-30 [03-Dec-2017]}

\begin{itemize}

\item Fixed issue where, occasionally during cross-validation,
  execution of the function \texttt{npglpreg()} could halt with an
  error indicating missing value needed where TRUE/FALSE needed

\end{itemize}

\section*{Changes from Version 0.15-28 to 0.15-29 [06-Oct-2017]}

\begin{itemize}

\item Fixed issue pointed out by Brian Ripley (thanks!) about
  \texttt{double ** \_X} in the nomad code

\item Updated licence to GPL (>= 3)

\end{itemize}

\section*{Changes from Version 0.15-27 to 0.15-28 [06-Oct-2017]}

\begin{itemize}

\item Zhenghua worked his magic to furnish a computationally efficient glp.model.matrix using a C backend similar to Simon Wood's C backend for his tensor.product.model.matrix

\item Fixed issue with integer predictors and NOMAD for \texttt{npglpreg()} arising from upgrade to latest version of NOMAD

\item Fixed issue with \texttt{MIN\_POLL\_SIZE} default arising from upgrade to latest version of NOMAD

\end{itemize}

\section*{Changes from Version 0.15-26 to 0.15-27 [06-May-2017]}

\begin{itemize}

\item Zhenghua fixed minor issue with \texttt{dim.bs()}

\item Incorporating Simon Wood's C-based tensor product code (was using his R-based code, the C code is substantially faster)

\item Naming of variables in NOMAD port aligned with Brian Ripley's
comment ('Identifiers starting with an underscore followed by an
upper-case letter or another underscore are reserved for system macros
and should not be used in portable code (including not as guards in
C/C++ headers).')

\end{itemize}

\section*{Changes from Version 0.15-25 to 0.15-26 [29-April-2017]}

\begin{itemize}

\item Zhenghua patched up issues arising with windows build

\item \texttt{crs\_init.c} attempts to deal with registration issue/note

\end{itemize}

\section*{Changes from Version 0.15-24 to 0.15-25 [29-Apr-2017]}

\begin{itemize}

\item Fixed glitch that could potentially arise when computing derivatives and multiple predictors are assigned degree 0 when using the glp basis

\item Updated NOMAD to latest version (3.8, released March 2017)

\end{itemize}

\section*{Changes from Version 0.15-23 to 0.15-24 [18-Dec-2014]}

\begin{itemize}

\item Move option init from .onAttach to .onLoad in zzz.R (Bernd Bischl)

\item Reworded DESCRIPTION (request from Kurt Hornik)

\end{itemize}

\section*{Changes from Version 0.15-22 to 0.15-23 [11-Aug-2014]}

\begin{itemize}

\item Fixed bugs on setting seed in \texttt{snomadr} so that
  successive calls with restarting result in the same solution (thanks
  to Arne Henningson for detecting and reporting this issue)

\item Addressed issue with \texttt{cv.aic} and \texttt{npglpreg} where
  degenerate solution could occur when shrinking was invoked

\item Enhanced the robust measure of scale to include \texttt{mad}
  which is more robust than \texttt{IQR}

\end{itemize}

\section*{Changes from Version 0.15-21 to 0.15-22 [22-Jan-2014]}

\begin{itemize}

\item \texttt{crs.messages=FALSE} was being ignored in \texttt{frscv},
  \texttt{krscv}, \texttt{frscvNOMAD}, and \texttt{krscvNOMAD}, as was
  the passing of additional arguments via \texttt{opts=list()} to
  \texttt{snomadr} from certain functions

\item Default settings for tuning parameters for \texttt{snomadr} in
  \texttt{npglpreg} have been optimized based on extensive simulations
  for simulated and real datasets (we 'optimized the optimizer' so to
  speak)

\item Fixed glitch in \texttt{npglpreg} where \texttt{cv.aic} was only
  working properly for the local constant estimator
  (i.e. \texttt{degree=0})

\item \texttt{bwscaling} is deprecated in the latest (development)
  version of np which necessitated changes to \texttt{npglpreg}. In
  the process the way scaling is performed ought to be more robust in
  general due to changes to default starting values for numeric
  predictors

\end{itemize}

\section*{Changes from Version 0.15-19 to 0.15-21 [08-Jan-2014]}

\begin{itemize}

\item Addressed issues with certain non-package files being included
  via use of \texttt{.Rbuildignore}

\item NOMAD team corrected dereferencing null pointer in
  \texttt{Mads.cpp} that was uncovered through the use of UB sanitizer
  checks with clang 3.4

\end{itemize}

\section*{Changes from Version 0.15-18 to 0.15-19 [30-Dec-2013]}

\begin{itemize}

\item Updated snomadr to NOMAD 3.6.2 (released December 2013) which
  resolves crash/incompatibility with the clang compiler on Mac OS X
  Mavericks 10.9.1

\item Added new function \texttt{clsd()} that does logspline
  regression jointly choosing the degree and number of segments
  (knots) - this is to be treated as beta but the univariate
  continuous only case currently implemented is capable of
  outperforming existing logspline methods that set the spline degree
  to an ad hoc value (3)

\item \texttt{npglpreg()} now optimizes at the level of the bandwidth
  scaling factors (thanks to Sebastien Le Digabel for the suggestion)
  to bring parameters to a 'common scale'

\item For cross-validation with \texttt{npglpreg()} we test for very
  large bandwidths for the continuous predictors ($>$ bandwidth.switch
  robust standard deviations) then switch to the global polynomial
  approximation for computation speed (produces identical results but
  uses global least squares rather than local least squares). This can
  result in substantial improvements when large bandwidths are
  appropriate. Combined with trees (in progress in np) this could lead
  to marked reductions in computation time with zero loss in accuracy

\end{itemize}

\section*{Changes from Version 0.15-17 to 0.15-18 [29-Dec-2012]}

\begin{itemize}

\item Using .onUnload rather than .Last.lib in zzz.R

\item Stopping rules for crsiv and crsivderiv modified

\item Added options to smooth residuals for stopping rule in crsiv
  (i.e. smooth y-phi(z)~w as opposed to separately smoothing y~w and
  phi(z)~w)

\item Added options to input starting values for crsiv and crsivderiv

\end{itemize}

\section*{Changes from Version 0.15-16 to 0.15-17 [04-Jun-2012]}

\begin{itemize}

\item Updated NOMAD from 3.5.0 (released Jan 2011) to 3.5.1 (released
  Mar 2012)

\end{itemize}

\section*{Changes from Version 0.15-15 to 0.15-16 [30-Apr-2012]}

\begin{itemize}

\item Fixed bug when \texttt{deriv=} is used in \texttt{crs()}
  (derivatives for categorical variables were not correct in some
  cases - derivatives computed by plot and plot-data were correct
  however)

\item Fixed issue when plot called with \texttt{"plot-data"} or
  \texttt{"data"} and \texttt{par(mfrow())} is not reset

\item Startup message points to the faq, faq is now a vignette

\item Glitch fixed in \texttt{npglpreg()} where kernel types were not
  being passed to the NOMAD solver...

\item Added ckerorder option to \texttt{npglpreg()}

\item More information output by summary for \texttt{npglpreg()}
  objects (kernel type, order etc.)

\item tol for determining ill-conditioned bases now consistent with
  Octave/Matlab etc. and uses the tolerance
  \texttt{max(dim(x))*max(sqrt(abs(e)))*.Machine\$double.eps}

\end{itemize}

\section*{Changes from Version 0.15-14 to 0.15-15 [16-Apr-2012]}

\begin{itemize}

\item NOTE: ** major change in default setting ** Default basis set to
  \texttt{"auto"} from \texttt{"additive"} for more robust results
  when using default settings with more than one continuous predictor
  (at the cost of additional computation for all supported bases, more
  memory required). Warnings changed to reflect this, additional
  warnings provided, but mainly when \texttt{cv="none"} (i.e. user is
  doing things manually and failing to provide defaults)

\item Added switch for discarding singular bases during
  cross-validation (\texttt{singular.ok=FALSE} is default, so default
  is to discard singular bases)

\item More stringent checking for ill-conditioned bases during
  cross-validation - previous checks were insufficient allowing poorly
  conditioned bases to creep into the final model (this may result in
  increased runtime for large datasets and multivariate tensor models)

\item Potential runtime improvement for large bases (test for
  ill-conditioned bases was relying partly on
  \texttt{rcond(t(B)\%*\%B)}, now using crossprod(B) which is more
  computationally efficient than \texttt{rcond(t(B)\%*\%B)} and has a
  substantially smaller memory footprint)

\item No longer report basis type for one continuous predictor as all
  bases are identical in this case

\end{itemize}
\section*{Changes from Version 0.15-13 to 0.15-14 [22-Mar-2012]}

\begin{itemize}

\item Added support for weights to \texttt{crs()}

\item Corrected issue with reporting of cv function value by
  \texttt{summary()} with quantile regression splines

\item Test for coexistence of pruning and quantile regression splines and
  stop with a message that these cannot coexist

\item Check for valid derivative integer

\end{itemize}


\section*{Changes from Version 0.15-12 to 0.15-13 [05-Mar-2012]}

\begin{itemize}

\item Added new function \texttt{crsivderiv()}

\item More options added to \texttt{crsiv()}

\item Modified vignette (\texttt{spline\_primer})

\item Corrected error in demo for IV regression when exhaustive search
  was selected (nmulti needed to be set though it is not used)

\item Changes to code to improve compliance with R 'Writing portable
  packages' guidelines and correct partial argument matches

\end{itemize}

\section*{Changes from Version 0.15-11 to 0.15-12 [7-Dec-2011]}

\begin{itemize}

\item Added option to limit the minimum degrees of freedom when
  conducting cross validation (see \texttt{cv.df.min} which defaults
  to 1) which can save memory and computation time for large sample
  sizes by avoiding computation of potentially very large dimensioned
  spline bases

\end{itemize}

\section*{Changes from Version 0.15-10 to 0.15-11 [3-Dec-2011]}

\begin{itemize}

\item Fixed glitch in \texttt{bwtype="auto"} when \texttt{adaptive\_nn}
  is selected

\end{itemize}

\section*{Changes from Version 0.15-9 to 0.15-10 [3-Dec-2011]}

\begin{itemize}

\item Fixed regression in code when using \texttt{cv.func=cv.aic}

\item Added option \texttt{bwtype="auto"} for \texttt{npglpreg}
  (automatically determine the bandwidth type via cross-validation)

\end{itemize}

\section*{Changes from Version 0.15-8 to 0.15-9 [25-Nov-2011]}

\begin{itemize}

\item Fixed glitch when computing/plotting derivatives with
  \texttt{crs} and multiple predictors are of degree zero

\item Added support for parallel \texttt{npglpreg} (calls
  \texttt{npRmpi} rather than \texttt{np} - see demo)

\item Improved handling of complex bases via dim.bs (test for negative
  degrees of freedom prior to attempting to construct the basis
  function - dramatically reduces memory overhead and can cut down on
  unnecessary computation)

\end{itemize}

\section*{Changes from Version 0.15-7 to 0.15-8 [16-Nov-2011]}

\begin{itemize}

\item Added support for \texttt{is.fullrank} testing for generalized
  local polynomial kernel regression for cross-validation (default
  remains ridging a la Seifert \& Gasser), replaced
  \texttt{rcond(t(X)\%*\%X)} with \texttt{is.fullrank(X)} (smaller
  memory footprint for large datasets)

\item Fixed glitch with derivative computation when one or more
  \texttt{degree} is 0 when \texttt{kernel=TRUE} and additionally when
  one or more factors is excluded when using \texttt{kernel=FALSE}

\item Fixed issue with reported cross-validation score only
  corresponding to leave-one-out cross-validation by passing back cv
  function from solver rather than computing post estimation

\item Added ability to estimate quantile regression splines

\item More rigorous testing for rank deficient fit via
  \texttt{rcond()} in cv function

\item Fixed issue where \texttt{degree.min} was set $> 1$ but initial
  degree was 1 (corresponding to the linear model which is the default
  for the initial degree otherwise)

\item Added the option to treat the continuous bandwidths as discrete
  with \texttt{lambda.discrete.num+1} values in the range [0,1] which
  can be more computationally efficient when a 'quick and dirty'
  solution is sufficient rather than conducting mixed integer search
  treating the lambda as real-valued

\item Corrected incorrect warning about using \texttt{basis="auto"}
  when there was only one continuous predictor

\end{itemize}

\section*{Changes from Version 0.15-6 to 0.15-7 [24-Oct-2011]}

\begin{itemize}

\item Added logical \verb+model.return+ to \verb+crs+ (default
  \verb+model.return=FALSE+) which previously returned a list of
  models corresponding to each unique combination of the categorical
  predictors when \verb+kernel=TRUE+ (the memory footprint could be
  potentially very large so this allows the user to generate this list
  if so needed)

\end{itemize}

\section*{Changes from Version 0.15-5 to 0.15-6 [17-Oct-2011]}

\begin{itemize}

\item Compiler error thrown on some systems due to changes in
  \verb+Eval_Point.hpp+ corrected

\end{itemize}

\section*{Changes from Version 0.15-4 to 0.15-5 [16-Oct-2011]}

\begin{itemize}

\item Thanks to Professor Brian Ripley, additional Solaris C/C++ compiler
  warnings/issues have been resolved

\item Some internal changes for soon to be deprecated functionality
  (\verb+sd(<matrix>)+) expected to be deprecated shortly)

\end{itemize}

\section*{Changes from Version 0.15-3 to 0.15-4 [15-Oct-2011]}

\begin{itemize}

\item Extended the \verb+gsl.bs+ functionality to permit out-of-sample
  prediction of the spline basis and its derivatives

\item Added option \verb+knots="auto"+ to automatically determine via
  cross-validation whether to use quantile or uniform knots

\item Minor changes to help page examples and descriptions and to the
  crs vignette

\end{itemize}

\section*{Changes from Version 0.15-2 to 0.15-3 [05-Sept-2011]}

\begin{itemize}

\item Fixed glitch when all degrees are zero when computing the
  cross-validation function (also fixes glitch when all degrees are
  zero when plotting the partial surfaces)

\item Added new function \verb+crssigtest+ (to be considered in beta
  status until further notice)

\item Added F test for no effect (joint test of significance) in
  \verb+crs summary+

\item Both degree and segments now set to one for first multistart in
  \verb+crs+ (previously only degree was, but intent was always to
  begin from a linear model (with interactions where appropriate) so
  this glitch is corrected)

\item Test for pathological case in npglpreg when initializing
  bandwidths where \verb+IQR+ is zero but \verb+sd > 0+ (for setting
  robust sd) which occurs when there exist many repeated values for a
  continuous predictor

\item Added 'typical usage' preformatted illustrations for docs

\end{itemize}

\section*{Changes from Version 0.15-1 to 0.15-2 [30-July-2011]}

\begin{itemize}

\item Renamed COPYING file to COPYRIGHTS

\end{itemize}

\section*{Changes from Version 0.15-0 to 0.15-1 [29-Jul-2011]}

\begin{itemize}

\item Automated detection of ordered/unordered factors implemented

\item Initial degree values set to 1 when conducting NOMAD search
  (only for initial, when \verb+nmulti > +1 random valid values are
  generated)

\item Multiple tests for well-conditioned B-spline bases, dynamic
  modification of search boundaries when ill-conditioned bases are
  detected, and detection of non-positive degrees of freedom and full
  column rank of the spline basis (otherwise the penalty
  \verb+sqrt(.Machine$double.xmax)+ is returned during search) - this
  can lead to a significant reduction in the memory footprint

\item Added support for generalized B-spline kernel bases (varying
  order generalized polynomial)

\item Corrected issue with plot when variables were cast as
  \verb+factor+ in the model formula

\item Fixed glitch with return object and i/o when
  \verb+cv="bandwidth"+ and \verb+degree=c(0,0,...,0)+

\item Added tests for pathological cases (e.g. optimize degree and
  knots but set max degree to min degree or max segments to min hence
  no search possible).

\item Added argument \verb+cv.threshold+ that uses exhaustive search
  for simple cases where the number of objective function evaluations
  is less than \verb+cv.threshold+ (currently set to 1000 but user can
  set). Naturally exhaustive search is always preferred but often
  unfeasible, so when it is feasible use it.

\item Added additional demos for constrained estimation (Du, Parmeter,
  and Racine (2011)), inference, and a sine-based function.

\item Substantial reductions in run-time realized.

\begin{itemize}

\item Product kernel computation modified for improved run-time of
  kernel-based cross-validation and estimation.

\item Moved from \verb+lsfit+ to \verb+lm.fit+ and from \verb+lm+ to
  \verb+lm.wfit+/\verb+lm.fit+ in \verb+cv.kernel.spline+ and
  \verb+cv.factor.spline+ (compute objective function values). Two
  effects - R devel indicates \verb+lm.fit+/\verb+lm.wfit+ are more
  robust (confirmed for large number of predictors) and much faster
  \verb+cv.kernel.spline+ function emerges (run-time cut 20-30\%).

\item The combined effects of these changes are noticeable. For
  instance, run-time for \verb+wage1+ with 7 predictor
  cross-validation goes from 510 seconds in 0.15-0 to 304 seconds due
  to use of \verb+lm.fit+/\verb+lm.wfit+ described below to 148
  seconds due to the modified kernel function.

\end{itemize}

\end{itemize}

\section*{Changes from Version 0.14-9 to 0.15-0 [23-Jun-2011]}

\begin{itemize}

\item Thanks to Professor Brian Ripley, compile on Solaris system
  issues are resolved, and check/examples are reduced in run time to
  alleviate the excessive check times by the R development team. Many
  thanks to them for their patience and guidance.

\item Minor changes to \verb+radial_rgl+ demo

\end{itemize}

\section*{Changes from Version 0.14-8 to 0.14-9 [20-Jun-2011]}

\begin{itemize}

\item Cleaned up issues for creating binary for windows

\item Setting seed in \verb+snomadr.cpp+ via \verb+snomadr.R+ for
  starting points when \verb+nmulti > 0+

\item Increased default \verb+MAX_BB_EVAL+ from 500 to 10000 (makes a
  difference for difficult problems) and modified default EPSILON in
  NOMAD along with other parameters (\verb+MIN_MESH_SIZE+,
  \verb+MIN_POLL_SIZE+) to reflect actual machine precision (using R's
  \verb+.Machine$double.eps+ where \verb+NOMAD+ fixed EPSILON at
  1e-13)

\item Zhenghua added help functionality for retrieving help via snomadr

\item Now default number of restarts in \verb+crs+ is 5 (zero is not
  reliable and I want sensible defaults in this package - higher is
  better but for many problems this ought to suffice)

\item Corrected glitches in interactive demos where options were not being
  passed, updated docs to reflect demos

\end{itemize}

\section*{Changes from Version 0.14-7 to 0.14-8 [10-Jun-2011]}

\begin{itemize}

\item \verb+crsiv+ now returns a crs model object that supports
  residuals, fitted, predict and other generic functions. Note that
  this approach is based on first computing the model via
  regularization and then feeding a transformed response to a {\tt
    crs} model object. You can test how close the two approaches are
  to one another by comparing \verb+model$phihat+ with \verb+fitted(model)+ via

  \verb+all.equal(as.numeric(fitted(model)),as.numeric(model$phihat))+

\end{itemize}

\section*{Version 0.14-7 [09-Jun-2011]}

\begin{itemize}

\item Initial release of the \verb+crs+ package on CRAN.

\end{itemize}

\end{document}
