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Nadaraya-Watson smoothing

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Nadaraya-Watson smoothing


Jan Motl (view profile)


07 Dec 2012 (Updated )

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

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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

Jan Motl (view profile)

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.

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25 Feb 2013 Mo

Mo (view profile)

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

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11 Feb 2013 1.3

Screen-shot was added.

11 Feb 2013 1.4

Removed __MACOSX file from the archive.

19 Feb 2013 1.5

Screen-shot was added (2).

22 Feb 2013 1.6

The function description was truncated and some tags added.

28 Feb 2013 1.7


04 Mar 2013 1.9

Improved help text.

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