Segmented regression

Segmented regression, also known as piecewise regression or broken-stick regression, is a method in

regression analysis in which the independent variable is partitioned into intervals and a separate line
segment is fit to each interval. Segmented regression analysis can also be performed on multivariate data by
partitioning the various independent variables. Segmented regression is useful when the independent
variables, clustered into different groups, exhibit different relationships between the variables in these
regions. The boundaries between the segments are breakpoints.

Segmented linear regression is segmented regression whereby the relations in the intervals are obtained
by linear regression.

Segmented linear regression, two segments

Segmented linear regression with two segments
separated by a breakpoint can be useful to quantify an
abrupt change of the response function (Yr) of a
varying influential factor (x). The breakpoint can be
interpreted as a critical, safe, or threshold value
beyond or below which (un)desired effects occur. The
breakpoint can be important in decision making [1]

The figures illustrate some of the results and regression

types obtainable.

A segmented regression analysis is based on the

presence of a set of ( y, x ) data, in which y is the 1st limb horizontal
dependent variable and x the independent variable.

The least squares method applied separately to each

segment, by which the two regression lines are made
to fit the data set as closely as possible while
minimizing the sum of squares of the differences (SSD)
between observed (y) and calculated (Yr) values of the
dependent variable, results in the following two
equations:

Yr = A1.x + K1     for x < BP (breakpoint)

Yr = A2.x + K2     for x > BP (breakpoint)

where:
1st limb sloping up
Yr is the expected (predicted) value of y for
a certain value of x;
A1 and A2 are regression coefficients (indicating the slope of the line segments);
K1 and K2 are regression constants (indicating the intercept at the y-axis).

The data may show many types or trends,[2] see the figures.
The method also yields two correlation coefficients
(R):

    for x < BP

(breakpoint)

and

    for x > BP

(breakpoint)
1st limb sloping down

where:

is the minimized SSD per segment

and

Ya1 and Ya2 are the average values of y in the respective segments.
In the determination of the most suitable trend, statistical tests must be performed to ensure that this trend is
reliable (significant).

When no significant breakpoint can be detected, one must fall back on a regression without breakpoint.

Example
For the blue figure at the right that gives the
relation between yield of mustard (Yr = Ym,
t/ha) and soil salinity (x = Ss, expressed as
electric conductivity of the soil solution EC in
dS/m) it is found that:[3]

BP = 4.93, A1 = 0, K1 = 1.74, A2 = −0.129,

K2 = 2.38, R1 2 = 0.0035 (insignificant), R2 2 =
0.395 (significant) and:

Ym = 1.74 t/ha                        for Ss <

4.93 (breakpoint)
Ym = −0.129 Ss + 2.38 t/ha     for Ss >
4.93 (breakpoint)
Segmented linear regression, type 3b

indicating that soil salinities < 4.93 dS/m are

safe and soil salinities > 4.93 dS/m reduce the
yield @ 0.129 t/ha per unit increase of soil salinity.
The figure also shows confidence intervals and uncertainty as elaborated hereunder.

Test procedures
The following statistical tests are used to
determine the type of trend:

1. significance of the breakpoint (BP) by

expressing BP as a function of
regression coefficients A1 and A2 and
the means Y1 and Y2 of the y-data
and the means X1 and X2 of the x data
(left and right of BP), using the laws of
propagation of errors in additions and
multiplications to compute the
standard error (SE) of BP, and
applying Student's t-test
2. significance of A1 and A2 applying
Student's t-distribution and the Example time series, type 5
standard error SE of A1 and A2
3. significance of the difference of A1 and
A2 applying Student's t-distribution
using the SE of their difference.
4. significance of the difference of Y1
and Y2 applying Student's t-
distribution using the SE of their
difference.
5. A more formal statistical approach to
test for the existence of a breakpoint,
is via the pseudo score test which
does not require estimation of the
segmented line.[4]

In addition, use is made of the correlation

Example of an ANOVA table: in this case the introduction of
coefficient of all data (Ra), the coefficient of
a break point is highly significant.
determination or coefficient of explanation,
confidence intervals of the regression
functions, and ANOVA analysis.[5]

The coefficient of determination for all data (Cd), that is to be maximized under the conditions set by the
significance tests, is found from:

where Yr is the expected (predicted) value of y according to the former regression equations and Ya is the
average of all y values.
The Cd coefficient ranges between 0 (no explanation at all) to 1 (full explanation, perfect match).
In a pure, unsegmented, linear regression, the values of Cd and Ra2 are equal. In a segmented regression,
Cd needs to be significantly larger than Ra2 to justify the segmentation.

The optimal value of the breakpoint may be found such that the Cd coefficient is maximum.

No-effect range
Segmented regression is often used to detect
over which range an explanatory variable (X)
has no effect on the dependent variable (Y),
while beyond the reach there is a clear
response, be it positive or negative. The reach
of no effect may be found at the initial part of
X domain or conversely at its last part. For the
"no effect" analysis, application of the least
squares method for the segmented regression
analysis [6] may not be the most appropriate
technique because the aim is rather to find the
longest stretch over which the Y-X relation can
be considered to possess zero slope while
beyond the reach the slope is significantly
different from zero but knowledge about the Illustration of a range from X=0 to X=7.85 over which there
best value of this slope is not material. The is no effect.
method to find the no-effect range is
progressive partial regression [7] over the
range, extending the range with small steps until the regression coefficient gets significantly different from
zero.

In the next figure the break point is found at X=7.9 while for the same data (see blue figure above for
mustard yield), the least squares method yields a break point only at X=4.9. The latter value is lower, but
the fit of the data beyond the break point is better. Hence, it will depend on the purpose of the analysis
which method needs to be employed.

See also
Chow test
Simple regression
Linear regression
Ordinary least squares
Multivariate adaptive regression splines
Local regression
Regression discontinuity design
Stepwise regression
 SegReg (software) for segmented regression

References
1. Frequency and Regression Analysis. Chapter 6 in: H.P.Ritzema (ed., 1994), Drainage
Principles and Applications, Publ. 16, pp. 175-224, International Institute for Land
Reclamation and Improvement (ILRI), Wageningen, The Netherlands. ISBN 90-70754-33-9 .
Free download from the webpage [1] (http://www.waterlog.info/articles.htm) , under nr. 20, or
directly as PDF : [2] (http://www.waterlog.info/pdf/regtxt.pdf)
2. Drainage research in farmers' fields: analysis of data. Part of project "Liquid Gold" of the
International Institute for Land Reclamation and Improvement (ILRI), Wageningen, The
Netherlands. Download as PDF : [3] (http://www.waterlog.info/pdf/analysis.pdf)
3. R.J.Oosterbaan, D.P.Sharma, K.N.Singh and K.V.G.K.Rao, 1990, Crop production and soil
salinity: evaluation of field data from India by segmented linear regression. In: Proceedings
of the Symposium on Land Drainage for Salinity Control in Arid and Semi-Arid Regions,
February 25th to March 2nd, 1990, Cairo, Egypt, Vol. 3, Session V, p. 373 - 383.
4. Muggeo, VMR (2016). "Testing with a nuisance parameter present only under the
alternative: a score-based approach with application to segmented modelling" (https://figsha
re.com/articles/journal_contribution/2747764/files/4428298.pdf) (PDF). Journal of Statistical
Computation and Simulation. 86 (15): 3059–3067. doi:10.1080/00949655.2016.1149855 (htt
ps://doi.org/10.1080%2F00949655.2016.1149855). S2CID 124914264 (https://api.semantics
cholar.org/CorpusID:124914264).
5. Statistical significance of segmented linear regression with break-point using variance
analysis and F-tests. Download from [4] (http://www.waterlog.info/faqs.htm) under nr. 13, or
directly as PDF : [5] (http://www.waterlog.info/pdf/anova.pdf)
6. Segmented regression analysis, International Institute for Land Reclamation and
Improvement (ILRI), Wageningen, The Netherlands. Free download from the webpage [6] (ht
tp://www.waterlog.info/segreg.htm)
7. Partial Regression Analysis, International Institute for Land Reclamation and Improvement
(ILRI), Wageningen, The Netherlands. Free download from the webpage [7] (http://www.wate
rlog.info/partreg.htm)

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