[R] Leave-one-out CV estimator for local polynomial regression in R?
lixiaoxi1978 at hotmail.com
Sun Apr 23 04:17:16 CEST 2006
I sincerely hope someone can help me. I am wonder if there is a function in
R that can calculate 'leave-one-out' Cross Validation estimator for
polynomial regression? The function 'lpridge' is a pretty good one for local
polynomial regression, but it cannot handle the leave-one-out estimation
unless I use a loop to remove one point at a time.
Here are some details if needed. Suppose the model is y = m(x) + e, and the
local polynomial estimation can be written as:
\hat m_i = w_i * y for i th point, where w_i is the 'smoother' vector.
The leave-one-out estimator is then \hat m(-i) = w_i' * y, where
w_i'=w_ij/(1-w_ii) if j!=i and w_j' = 0 if j=i.
Any help will be highly appreicated.
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