Adaptive nonparametric estimation of a multivariate regression function

@inproceedings{Mack1987AdaptiveNE,
  title={Adaptive nonparametric estimation of a multivariate regression function},
  author={Ybonne Mack and Hans-Georg M{\"u}ller},
  year={1987}
}
We consider the kernel estimation of a multivariate regression function at a point. Theoretical choices of the bandwidth are possible for attaining minimum mean squared error or for local scaling, in the sense of asymptotic distribution. However, these choices are not available in practice. We follow the approach of Krieger and Pickands (Ann. Statist.9 (1981) 1066-1078) and Abramson (J. Multivariate Anal.12 (1982), 562-567) in constructing adaptive estimates after demonstrating the weak… CONTINUE READING