Nadaraya-Watson smoothing

A non-parametrical regression (smoothing) tool using Gaussian kernel.

The advantage of this smoothing function is that it doesn't need any parameters - it finds the optimal parameters by itself. And still the calculation takes just a second for 100 samples.

This code implements Nadaraya-Watson kernel regression algorithm with Gaussian kernel. The optimal setting of the regression is derived by closed form leave-one-out cross-validation.