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statsmodels.nonparametric.kernel_regression.KernelReg

class statsmodels.nonparametric.kernel_regression.KernelReg(endog, exog, var_type, reg_type='ll', bw='cv_ls', defaults=<statsmodels.nonparametric._kernel_base.EstimatorSettings object>) [source]

Nonparametric kernel regression class.

Calculates the conditional mean E[y|X] where y = g(X) + e. Note that the “local constant” type of regression provided here is also known as Nadaraya-Watson kernel regression; “local linear” is an extension of that which suffers less from bias issues at the edge of the support.

Parameters:
  • endog (list with one element which is array_like) – This is the dependent variable.
  • exog (list) – The training data for the independent variable(s) Each element in the list is a separate variable
  • var_type (str) –

    The type of the variables, one character per variable:

    • c: continuous
    • u: unordered (discrete)
    • o: ordered (discrete)
  • reg_type ({'lc', 'll'}, optional) – Type of regression estimator. ‘lc’ means local constant and ‘ll’ local Linear estimator. Default is ‘ll’
  • bw (str or array_like, optional) – Either a user-specified bandwidth or the method for bandwidth selection. If a string, valid values are ‘cv_ls’ (least-squares cross-validation) and ‘aic’ (AIC Hurvich bandwidth estimation). Default is ‘cv_ls’.
  • defaults (EstimatorSettings instance, optional) – The default values for the efficient bandwidth estimation.
bw

array_like – The bandwidth parameters.

Methods

aic_hurvich(bw[, func]) Computes the AIC Hurvich criteria for the estimation of the bandwidth.
cv_loo(bw, func) The cross-validation function with leave-one-out estimator.
fit([data_predict]) Returns the mean and marginal effects at the data_predict points.
loo_likelihood()
r_squared() Returns the R-Squared for the nonparametric regression.
sig_test(var_pos[, nboot, nested_res, pivot]) Significance test for the variables in the regression.

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.nonparametric.kernel_regression.KernelReg.html