NadarayaWatson Class Reference

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

Detailed Description

Nadaraya Watson regression.

This implements the estimator

\[m(x) = \frac{\sum_i y_i K(x-x_i)}{\sum_i K(x-x_i)} \]

Constructor & Destructor Documentation

NadarayaWatson()

template<class I1, class I2, class Kernel>

NadarayaWatson	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		const Kernel &	kernel )

Precondition

the \( x \) values must be sorted.

kernel needs a Real operator()(Real x) implementation