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Nadaraya-Watson smoothing

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Nadaraya-Watson smoothing

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07 Dec 2012 (Updated )

A non-parametrical regression (smoothing) tool using Gaussian kernel.

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Description

The advantage of this smoothing function is that it doesn't need any parameters - it finds the optimal parameters by itself. And still the calculation takes just a second for 100 samples.
 
This code implements Nadaraya-Watson kernel regression algorithm with Gaussian kernel. The optimal setting of the regression is derived by closed form leave-one-out cross-validation.

MATLAB release MATLAB 6.5 (R13)
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Comments and Ratings (2)
28 Feb 2013 Jan Motl

Hi Mo,
I just uploaded a partially vectorised version, which should be a bit faster. Now the smoothing takes around 10 seconds to process 2500 samples on my computer. Let me know if you need it to be even faster.

25 Feb 2013 Mo

Hi Jan,
Unfortunately, the calculation for more samples (for example 2500 samples) takes a very long time.
Isn't possible to make it faster?

Updates
11 Feb 2013

Screen-shot was added.

11 Feb 2013

Removed __MACOSX file from the archive.

19 Feb 2013

Screen-shot was added (2).

22 Feb 2013

The function description was truncated and some tags added.

28 Feb 2013

Vectorised.

04 Mar 2013

Improved help text.

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