Li Xiaoxi
2006-Apr-23 02:17 UTC
[R] Leave-one-out CV estimator for local polynomial regression in R?
Hello all, 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. Xiaoxi