[R] Weighted Savitzky-Golay?

[Liaw, Andy]

If I'm not mistaken, S-G is essentially a local (even-degree) polynomial
smoother with constant bandwidth.  You can use a constant bandwidth local
polynomial smoother that allows weights; e.g., in the locfit package.

HTH,
Andy

> From: Matt Hart
> 
> Hi,
> 
> Does anyone know how to use weights and generate error bounds for 
> Savitzky-Golay? I have a (smallish) set of points y equally 
> spaced each 
> with a known error and would like to smooth them using S-G 
> but so as to 
> take into account the error already have and construct new 
> error bounds 
> around them that take into account the errors they had at the 
> beginning 
> and the erros they get as a result of the smoothing.
> 
> thanks, m.
> 
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