A Distribution-Free Theory of Nonparametric Regression

The regression estimation problem has a long history. Already in 1632 Galileo Galilei used a procedure which can be interpreted as—tting a linear relationship to contaminated observed data. Such—tting of a line through a cloud of points is the classical linear regression problem. A solution of this problem is provided by the famous principle of least squares, which was discovered independently by A. M. Legendre and C. F. Gauss and published in 1805 and 1809, respectively. The principle of l...