Local regression to obtain a predicted value at a given point in the predictor space is done by doing a least squares fit that uses all data points in a local neighborhood of the given point. This method is computationally expensive because a local neighborhood must be determined and a least squares problem must be solved for each point at which a fitted value is required. A faster method is to obtain such fits at a representative sample of points in the predictor space and to obtain fitted values at all other points by interpolation.

PROC LOESS can fit models by using either of these two methods. By default, PROC LOESS uses fitting at a sample of points and interpolation. The method fitting a local model at every data point is selected by specifying the DIRECT option in the MODEL statement.