kern_smooth.py

import np


def kern_smooth(x, xp, yp, bw=1, return_std=False):
    w = np.exp(-0.5 * ((xp - x.reshape(-1, 1)) / bw)**2)
    w = w / w.sum(1, keepdims=True)
    y = (yp * w).sum(1)

    if not return_std:
        return y
    else:
        # x should cover the range of xp to validate interp of dy
        assert x[0] <= xp[0] and x[-1] >= xp[-1]
        dy = yp - np.interp(xp, x, y)  # needed if y varies fast
        ystd = ((dy**2 * w).sum(1) - (dy * w).sum(1)**2)**0.5

        return y, ystd