Given a nonparametric regression model, we assume that the number of covariates d → ∞ but only some of these covariates are relevant for the model. Our goal is to identify the relevant covariates and to obtain some ...

The local polynomial estimator is particularly affected by the curse of di- mensionality. So, the potentialities of such a tool become ineffective for large dimensional applications. Motivated by this, we propose a new ...