[R] Weighted Savitzky-Golay?
mmmabos at comcast.net
Mon Oct 4 17:46:31 CEST 2004
Thanks. Yes, I think this is right. As I understand it S-G does a local
unweighted polynomial regression. I think other smoothers already weigh
the data by the distance from the estimation point. I'm not sure what
happens when you mix the two...
Liaw, Andy wrote:
>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.
>>From: Matt Hart
>>Does anyone know how to use weights and generate error bounds for
>>Savitzky-Golay? I have a (smallish) set of points y equally
>>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
>>around them that take into account the errors they had at the
>>and the erros they get as a result of the smoothing.
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