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c++pythonrmachine-learning

Implementations of local regression and local likelihood methods

I am looking for an efficient implementation of local regression (LOESS) and local likelihood methods such as local logistic regression (local likelihood methods are discussed, for example, in section 6.5 of Elements of Statistical Learning by Hastie et. al.).

I would prefer a C++ or Python implementation, but pointers to R (where I know that LOESS is implemented, but I can't find a local likelihood method) or Java would also suffice.

Solution

  • In R there are the 'locfit' and 'mgcv' packages that I would suggest do forms of local regression. I believe the locfit package is simply a syntactic bridge to an underlying C package. (But not C++.)