An oracle property of the Nadaraya–Watson kernel estimator for high‐dimensional nonparametric regression
An oracle property of the Nadaraya–Watson kernel estimator for high‐dimensional nonparametric regression
Abstract The Nadaraya–Watson estimator is among the most studied nonparametric regression methods. A classical result is that its convergence rate depends on the number of covariates and deteriorates quickly as the dimension grows. This underscores the “curse of dimensionality” and has limited its use in high‐dimensional settings. In this paper, …