Robust Local Polynomial Regression with Similarity Kernels

Code

• github.com/yaniv-shulman/rsklpr
  OfficialIn papernone★ 8

Abstract

Local Polynomial Regression (LPR) is a widely used nonparametric method for modeling complex relationships due to its flexibility and simplicity. It estimates a regression function by fitting low-degree polynomials to localized subsets of the data, weighted by proximity. However, traditional LPR is sensitive to outliers and high-leverage points, which can significantly affect estimation accuracy. This paper revisits the kernel function used to compute regression weights and proposes a novel framework that incorporates both predictor and response variables in the weighting mechanism. By introducing two positive definite kernels, the proposed method robustly estimates weights, mitigating the influence of outliers through localized density estimation. The method is implemented in Python and is publicly available at https://github.com/yaniv-shulman/rsklpr, demonstrating competitive performance in synthetic benchmark experiments. Compared to standard LPR, the proposed approach consistently improves robustness and accuracy, especially in heteroscedastic and noisy environments, without requiring multiple iterations. This advancement provides a promising extension to traditional LPR, opening new possibilities for robust regression applications.

Tasks

Reproductions