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 ...

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 information ...