Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: smoother
See also: regci regcb regxest regxbwsel lpregest regestp

Quantlet: regest
Description: computes the Nadaraya-Watson estimator for univariate regression. The computation uses WARPing.

Reference(s):

Usage: mh = regest(x {,h {,K} {,d} })
Input:
x n x 2, the data. In the first column the independent, in the second column the dependent variable.
h scalar, bandwidth. If not given, 20% of the range of x[,1] is used.
K string, kernel function on [-1,1] or Gaussian kernel "gau". If not given, the Quartic kernel "qua" is used.
d scalar, discretization binwidth. d must be smaller than h. If not given, the minimum of h/3 and (max(x[,1])-min(x[,1]))/100 is used.
Output:
mh m x 2 matrix, the first column is a grid and the second column contains the regression estimate on that grid.

Note:

Example:

library("smoother") 

library("plot")

;

x = 4.*pi.*(uniform(200)-0.5)   ; independent variable

m = cos(x)                      ; true function

e = uniform(200)-0.5            ; error term             

x = x~(m+e)                             

;

mh = regest(x,1)                ; estimate function

;

mh = setmask(mh, "line","blue")

m  = setmask(sort(x[,1]~m) , "line","black","thin")

plot(x,mh,m)                                         

Result:

The Nadaraya-Watson regession estimate (blue) using   

Quartic kernel and bandwidth h=1 and the true 

regression function (thin black) are pictured.

Example:

library("smoother") 

library("plot")

;

x = read("motcyc")            ; read motorcycle data

mhe = regest(x,3,"epa")       ; estimate function

mhu = regest(x,2,"uni")       ; estimate function

;

mhe= setmask(mhe,"line","green")

mhu= setmask(mhu,"line","red")

plot(mhe,mhu)                 ; graph functions

Result:

The Nadaraya-Watson regession estimates using   

Epanechnikov kernel (green) and Uniform kernel 

(red) are pictured.  


Library: smoother
See also: regci regcb regxest regxbwsel lpregest regestp

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Marlene Mueller, 2000/03/28 - 14:04
(C) MD*TECH Method and Data Technologies, 21.9.2000