I need to vary the window width (span) of a LOESS smoothing filter to select a given effective lowpass filter frequency.

When I was using Savitzky-Golay for smoothing I found this technical report which related the window size to frequency, but have not found anything similar online for LOESS. The LOESS values will be similar to the S-G ones, but is there any more specific information available (for the Tricube or any other weight function)?

Alternatively is there a calculation (dependent on the weight function) which can convert the S-G cutoff frequency to the LOESS?


I asked the same question and found the reason why this question is not pursued with LOESS and similar smoothers is that they do not require equally-spaced data. When the data are not equally-spaced then the frequency response is partly dependent on the data. However, if the data are equally-spaced then in principle one should be able to "calibrate" LOESS for given values of alpha and lambda by feeding in a range of sine waves at different frequencies to calculate the response. Does this sound reasonable? Best, Larry Breaker

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