R:
I am starting to do LOESS regressions and was wondering if anyone has
written code to create M-Plots (Cleveland and Devlin 1988). The M-Plot
allows a method for choosing the smoothing parameter that produces the
smallest variance subject to not generating a statistically significant
bias in the fitted values; thus you can do anova on loess fits.
Cleveland, William S., Susan J. Devlin (1988), "Locally Weighted
Regression: An Approach to Regression Analysis by Local Fitting," Journal
of the American Statistical Association 83, 596-610.
Thanks,
Jason Higbee
Research Associate
Federal Reserve Bank of St. Louis
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