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A Distribution-Free Theory of Nonparametric Regression D-79111 Freiburg discos or house-parties without rapThe 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