Selecting Local Models in Multiple Regression by Maximizing Power
  This paper considers multiple regression procedures for analyzing the relationship between a response variable and a vector of covariates in a nonparametric setting where both tuning parameters and the number of covariates need to be selected. We introduce an approach which handles the dilemma that with high dimensional data the sparsity of data in regions of the sample space makes estimation of nonparametric curves and surfaces virtually impossible. This is accomplished by abandoning the goal of trying to estimate true underlying curves and instead estimating measures of dependence that can determine important relationships between variables. 
Chad M. Schafer (Dept. of Statistics, Carnegie Mellon Univ.) and Kjell   A. Doksum (Dept. of Statistics, Univ. of Wisconsin,...