Hello all!
I have recently started using the LOCFIT package, together with Clive
Loader's book. I need to implement some method for automatic (plug-in)
bandwidth selection in a multivariate kernel regression. From the book, and
the LOCFIT documentation, it is not clear whether this is possible. As far
as I can see, the only time the various automated procedures, e.g., SJPI,
are used is in the kdeb function, which is for preparing a summary
comparison of various selection methods, and only for a *univariate kernel
density. *Does anyone here know of a way to implement automatic (plug-in)
bandwidth selection for kernel regression, maybe with some R function that
calls LOCFIT? Or can you suggest a good alternative package for this,
either in R/Matlab or a stand-alone?
Thanks a lot, and regards
--
Partho Sarkar
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