Definition: The Nadaraya-Watson estimator is used to estimate regression functions based on data {Xi,
Yi}. The
equation produces an estimate for Y at any requested value of X (not only the
ones in the data), using as input (1) the data set {Xi,
Yi}, and (2) a kernel function describing the weights
to be put on values in the data set near X in estimating Y. The kernel
function itself can be parameterized by the choice of its functional form and
its 'bandwidth' which scales its width in the X-direction.
(Econterms)
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