A note on variable selection in nonparametric regression with dependent data
We develop a nonparametric test, based on kernel smoothers, in order to decide whether some covariates could be suppressed in a multidimensional nonparametric regression study. We give the asymptotic distribution of the statistic involved in our test, under a general dependence assumption on the sample that allows for application to time series prediction.
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Volume (Year): 57 (2002)
Issue (Month): 3 (April)
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References listed on IDEAS
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