Nadaraya Watson regression. More...
#include <qle/math/nadarayawatson.hpp>
Public Member Functions | |
template<class I1 , class I2 , class Kernel > | |
NadarayaWatson (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const Kernel &kernel) | |
Real | operator() (Real x) const |
Real | standardDeviation (Real x) const |
Nadaraya Watson regression.
This implements the estimator
\[ m(x) = \frac{\sum_i y_i K(x-x_i)}{\sum_i K(x-x_i)} \]
NadarayaWatson | ( | const I1 & | xBegin, |
const I1 & | xEnd, | ||
const I2 & | yBegin, | ||
const Kernel & | kernel | ||
) |