KernelReg.bw表示内核回归返回的带宽为负。据我了解,带宽也将是正数。请帮助查看我的代码是否有问题。
由于我认为问题出在EstimatorSettings,所以我尝试过几次更改EstimatorSettings的参数。对于大约5,000个大样本量,我需要具有63的滚动窗口。
from statsmodels.nonparametric.kernel_regression import KernelReg
from statsmodels.nonparametric._kernel_base import EstimatorSettings
#reading the files
df = pd.read_csv('C:/Users/User/Desktop/xxx.csv')
totalRows = len(df)
df['Time Index'] = df.index + 1
number = df['Time Index']
last = df['Last']
df.to_csv('C:/Users/User/Desktop/xxx.csv')
#Kernel Regression Portion
settings = EstimatorSettings(efficient=True, n_sub=63,
return_median=True, return_only_bw=False)
data = KernelReg(last, number, var_type='c', reg_type='lc', bw='cv_ls',
defaults=settings)
print(data.bw)
[-4.50511471]