Hengartner, Nicolas W.; Sperlich, Stefan - In: Journal of Multivariate Analysis 95 (2005) 2, pp. 246-272
For multivariate regressors, integrating the Nadaraya-Watson regression smoother produces estimators of the lower-dimensional marginal components that are asymptotically normally distributed, at the optimal rate of convergence. Some heuristics, based on consistency of the pilot estimator,...