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In a dataset of longitude, latitude and price (of houses) I'm using sklearn's KNearestRegressor to get the 5 nearest neighbors mean price for each point. The problem is I want to do this for the whole dataset and each point is taking its own price into consideration since KNearestRegressor is a supervised algorithm, and I'm predicting the training set. How can I get the 5 nearest neighbors mean price for each point, not taking into consideration that point's price?

I have tried sklearn's unsupervised NearestNeighbours but it only outputs the indexes of the nearest neighbors, not the mean price.

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First of all you train/ fit a model on the training set, may be cross validate using a training set. But it is not meant to predict itself. That's what test set is for.

You can achieve your objective by predicting each observation in a Leave One Out manner (also used for cross validation):

For every observation (i) in your dataset, fit a KNN regressor using all data except (i), evaluate your prediction for (i).

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