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Multivariate bandwidth selection for local linear regression. (English) Zbl 0952.62039
The authors, using a pilot estimator, obtain a plug-in formula for the optimal bandwidth, both scalar and diagonal, for multivariate local linear regression.

MSC:
62G08 Nonparametric regression and quantile regression
62J05 Linear regression; mixed models
62H12 Estimation in multivariate analysis
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