NadarayaWatson Class Reference

Nadaraya Watson regression. More...

#include <qle/math/nadarayawatson.hpp>

Collaboration diagram for NadarayaWatson:

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

Private Attributes
QuantLib::ext::shared_ptr< detail::RegressionImpl >	impl_

Detailed Description

Nadaraya Watson regression.

This implements the estimator

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

Definition at line 103 of file nadarayawatson.hpp.

Constructor & Destructor Documentation

NadarayaWatson()

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

Definition at line 109 of file nadarayawatson.hpp.

                                                                                             {
        impl_ = QuantLib::ext::make_shared<detail::NadarayaWatsonImpl<I1, I2, Kernel> >(xBegin, xEnd, yBegin, kernel);
    }

Member Function Documentation

operator()()

Real operator()

(

Real

x

)

const

Definition at line 113 of file nadarayawatson.hpp.

{ return impl_->value(x); }

standardDeviation()

Real standardDeviation

(

Real

x

)

const

Definition at line 115 of file nadarayawatson.hpp.

{ return impl_->standardDeviation(x); }

Member Data Documentation

impl_

QuantLib::ext::shared_ptr<detail::RegressionImpl> impl_

private

Definition at line 118 of file nadarayawatson.hpp.