Rewriting of statsmodels' kernel regression functions for speed.

The main motivation behind this is the interpolation of missing values over large amount of time series. Vanilla interpolation approaches can give too much estimation variance or be vulnerable to data quality issues.

Single-threaded Nadarawa-Watson fit is about 150 times faster than the Python alternative. There is also a multi-threaded implementation of the local polynomial estimator.

At the moment, multivariate kernels with unordered and continuous variables are handled.

Because of the performance improvement, cross-validations and fittings of local multivariate polynomials are within reach.

• Make sure Rust, along with Cargo, is accessible in your terminal.
• The models are currently developped for Python 3.11
• Install maturin in your Python environment with

pip install maturin

• At the root of the py-kernel-regression module, run

maturin develop --release 

This is will compile the wheel and install py-kernel-regression in your Python environment. If you only want to get the wheel, use

maturin build --release

instead.

import numpy as np
from py_kernel_regression import KernelReg as KR

bw = [1.0, 0.2]
x_train = np.array([1.0, 3.2, 2.5, 1.2, 4.3])[:, None]
u_train = np.array([1, 3, 2, 2, 1])[:, None]
X_train = np.concatenate([x_train, u_train], axis=1)
Y_train = np.array([9.0, 9.0, 10.0, 3.0, 4.0])

x_new = np.array([[1.0, 2.0], [2.2, 3.0], [2.6, 2.0]])

ll_output = KR(bw, ["c", "u"], "loc_constant").fit_predict(Y_train, X_train, x_new)

print(ll_output)

import numpy as np
n = 1000 
x = np.linspace(0, 100, n)
y = np.array([2.0 * np.sin(x_i * np.pi/50) for x_i in x])

exog = x[:, None] 
endog = y.ravel()

y_hat = KR([10.0], ["c"], "loc_linear").fit_predict(endog, exog, exog)

grid_bw = [0.5, 1.0, 5.0, 10.0, 25.0, 50.0, 100.0]
losses = []
for bw in grid_bw:
    loss = KR([bw], ["c"], "loc_linear").leave_one_out(endog, exog, "rmse")
    losses.append(loss)
 
 
y_hat = KR([np.argmin(grid_bw)], ["c"], "loc_linear").fit_predict(endog, exog, exog)

• Got to improve/actually do error handling. Right now it's very unclear why/where there is an issue (e.g. too many variables declared).