Fast Kernel Smoothing in R with Applications to Projection Pursuit

Abstract: This paper introduces the R package FKSUM, which offers fast and exact evaluation of univariate kernel smoothers. The main kernel computations are implemented in C++, and are wrapped in simple, intuitive and versatile R functions. The fast kernel computations are based on recursive expressions involving the order statistics, which allows for exact evaluation of kernel smoothers at all sample points in log-linear time. In addition to general purpose kernel smoothing functions, the package offers purpose built and ready-to-use implementations of popular kernel-type estimators. On top of these basic smoothing problems, this paper focuses on projection pursuit problems in which the projection index is based on kernel-type estimators of functionals of the projected density.