[R] Weighted Savitzky-Golay?

[Matt Hart]

Thanks. Yes, I think this is right. As I understand it S-G does a local 
unweighted polynomial regression. I think other smoothers already weigh 
the data by the distance from the estimation point. I'm not sure what 
happens when you mix the two...

m.

Liaw, Andy wrote:

>If I'm not mistaken, S-G is essentially a local (even-degree) polynomial
>smoother with constant bandwidth.  You can use a constant bandwidth local
>polynomial smoother that allows weights; e.g., in the locfit package.
>
>HTH,
>Andy
>
>  
>
>>From: Matt Hart
>>
>>Hi,
>>
>>Does anyone know how to use weights and generate error bounds for 
>>Savitzky-Golay? I have a (smallish) set of points y equally 
>>spaced each 
>>with a known error and would like to smooth them using S-G 
>>but so as to 
>>take into account the error already have and construct new 
>>error bounds 
>>around them that take into account the errors they had at the 
>>beginning 
>>and the erros they get as a result of the smoothing.
>>
>>thanks, m.
>>
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