R help - Aug 2005 - kernel smoothing of weighted data

Hi,

I want to use kde() or a similar function for kernel smoothing but I want 
to specify the weight of each of my data points.  I do not want to specify 
the bandwidth on a point by point basis.

This seems such a simple and obvious thing to want to do I am suspicious 
that there is not an obvious way to do it.  The only discussion I have 
found is about negative weights(!) and says nothing about implementation. 
Can anyone suggest a package I have missed or suggest the best starting 
point for writing my own solution.

The reason for wanting this is that I have a number of samples each of 
~1000 data points from the same distribution but the samples are of 
slightly differing statistical weight and eventually each point in each 
sample may have its own statistical weight.

I have searched the list but I am not subscribed to it so please make me an 
addressee of any reply.

Thanks

Robert Patterson

density() in the R-devel version of R allows weights.

locfit() in the package of the same name also appears to be documented to.

On Tue, 16 Aug 2005 riap2 at cam.ac.uk wrote:
> I want to use kde() or a similar function for kernel smoothing but I want
> to specify the weight of each of my data points.  I do not want to specify
> the bandwidth on a point by point basis.
The only kde() I found is from the recent package ks, and is for 
multivariate data -- if you want that, you did not say so and I've not 
looked for an answer there.
> This seems such a simple and obvious thing to want to do I am suspicious
> that there is not an obvious way to do it.  The only discussion I have
> found is about negative weights(!) and says nothing about implementation.
> Can anyone suggest a package I have missed or suggest the best starting
> point for writing my own solution.
>
> The reason for wanting this is that I have a number of samples each of
> ~1000 data points from the same distribution but the samples are of
> slightly differing statistical weight and eventually each point in each
> sample may have its own statistical weight.
>
> I have searched the list but I am not subscribed to it so please make me an
> addressee of any reply.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595