kernel smoothing of weighted data

I want to use kde() or a similar function for kernel smoothing but I want
to specify the weight of each of my data points.  I do not want to specify
the bandwidth on a point by point basis.

This seems such a simple and obvious thing to want to do I am suspicious
that there is not an obvious way to do it.  The only discussion I have
found is about negative weights(!) and says nothing about implementation.
Can anyone suggest a package I have missed or suggest the best starting
point for writing my own solution.

The reason for wanting this is that I have a number of samples each of
~1000 data points from the same distribution but the samples are of
slightly differing statistical weight and eventually each point in each
sample may have its own statistical weight.

I have searched the list but I am not subscribed to it so please make me an
addressee of any reply.

From: Prof Brian Ripley <ripley at stats.ox.ac.uk>
To: riap2 at cam.ac.uk
CC: r-help at stat.math.ethz.ch
Subject: Re: [R] kernel smoothing of weighted data
Date: Tue, 16 Aug 2005 18:13:43 +0100 (BST)

density() in the R-devel version of R allows weights.

locfit() in the package of the same name also appears to be documented to.

On Tue, 16 Aug 2005 riap2 at cam.ac.uk wrote:

I want to use kde() or a similar function for kernel smoothing but I 

want

to specify the weight of each of my data points.  I do not want to 

specify

the bandwidth on a point by point basis.

The only kde() I found is from the recent package ks, and is for
multivariate data -- if you want that, you did not say so and I've not
looked for an answer there.

This seems such a simple and obvious thing to want to do I am suspicious
that there is not an obvious way to do it.  The only discussion I have
found is about negative weights(!) and says nothing about 

implementation.

Can anyone suggest a package I have missed or suggest the best starting
point for writing my own solution.

The reason for wanting this is that I have a number of samples each of
~1000 data points from the same distribution but the samples are of
slightly differing statistical weight and eventually each point in each
sample may have its own statistical weight.

I have searched the list but I am not subscribed to it so please make me 

an

addressee of any reply.

--
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595