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Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes

Abstract : This paper deals with a nonparametric Nadaraya-Watson estimator $\widehat b$ of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on $\widehat b$ and its discrete-time approximation are established. The paper also deals with extensions of the PCO and leave-one-out cross validation bandwidth selection methods for $\widehat b$. Finally, some numerical experiments are provided.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-03226531
Contributor : Nicolas Marie Connect in order to contact the contributor
Submitted on : Wednesday, December 15, 2021 - 10:47:12 PM
Last modification on : Tuesday, April 26, 2022 - 3:42:56 AM

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  • HAL Id : hal-03226531, version 2

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Nicolas Marie, Amélie Rosier. Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes. 2021. ⟨hal-03226531v2⟩

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