Dear Bert,
Thank you very much for your quick reply.
I have tested this, and it indeed appears to be the source of the discrepancy I
observed.
My apologies for overlooking this in the documentation and thank you for
clarifying.
Cheers,
Jan
From: Bert Gunter
Sent: Thursday, 26 October 2023 20:19
To: Jan Failenschmid
Cc: r-help@r-project.org
Subject: Re: [R] Inquiry about bandwidth rescaling in Ksmooth
Apologies in advance if my comments don't help, in which case, no need
to respond, but I noted in ?ksmooth:
"bandwidth
the bandwidth. The kernels are scaled so that their quartiles (viewed
as probability densities) are at ± 0.25*bandwidth." So, could this be
a source of the discrepancies you cited?
Given that ?ksmooth explicitly says:
"Note:
This function was implemented for compatibility with S, although it is
nowhere near as slow as the S function. Better kernel smoothers are
available in other packages such as KernSmooth."
One wonder why you bother with it at all? (That was rhetorical -- do
not answer).
Cheers,
Bert
On Thu, Oct 26, 2023 at 11:06 AM Jan Failenschmid via R-help
wrote:
>
> Dear Sir, Madam, or to whom this may concern,
>
> my name is Jan Failenschmid and I am a Ph.D. student at Tilburg University.
> For my project I have been looking into different types of kernel regression
> estimators and corresponding R functions.
> While comparing different functions I noticed that stats::ksmooth returned
> different estimates for the same bandwidth
> as other kernel regression estimators that should be equivalent (i.e. the
> local polynomial estimators KernSmooth::locpoly and
> locpol::locpol with degree 0). However, when optimizing the bandwidth of
> ksmooth separately using the same loss function, I find comparable estimates
> to the other two estimators for a (larger) different bandwidth. To confirm
> this, I wrote my own Nadaraya-Watson kernel regression estimator, which is
> consistent with the two local polynomial estimators and shows the same
> discordance with ksmooth.
>
> This led me to the suspicion that the bandwidth that is passed to kmooth is
> rescaled or transformed within the function. Unfortunately, I was not able to
> confirm this with either the code of the function or the documentation. It
> would be of great help to me if you could clarify this for me.
>
> Thank you very much for your time and help in advance.
>
> Kind regards,
>
> Jan Failenschmid
>
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>
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