Local Estimators in Multivariate Generalized Linear Models with Varying Coefficients

The varying-coefficient model allows to investigate and visualize the form of the interaction of variables in the predictor. Moreover, common approaches like semiparametric modeling and generalized linear models are special cases. The focus is on local estimators, in particular local likelihood and locally weighted least squares estimators, which both are consistent and asymptotically normally distributed. Extensions to the case of multivariate smoothing are considered. An example illustrates the usefulness of the approach