TY  - BOOK
AU  - Ouyang,Desheng
AU  - Li,Qi
TI  - Nonparametric estimation of regression functions with discrete regressors
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Regression analysis
KW  - Nonparametric statistics
KW  - Estimation theory
N2  - We consider the problem of estimating a nonparametric regression model containing categorical regressors only. We investigate the theoretical properties of least squares cross-validated smoothing parameter selection, establish the rate of convergence (to zero) of the smoothing parameters for relevant regressors, and show that there is a high probability that the smoothing parameters for irrelevant regressors converge to their upper bound values, thereby automatically smoothing out the irrelevant regressors. A small-scale simulation study shows that the proposed cross-validation-based estimator performs well in finite-sample settings
UR  - https://doi.org/10.1017/S0266466608090014
ER  -