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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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https://hal.archives-ouvertes.fr/hal-03226531
Contributor : Nicolas Marie Connect in order to contact the contributor
Submitted on : Tuesday, April 19, 2022 - 8:41:00 PM
Last modification on : Wednesday, May 4, 2022 - 6:45:13 PM

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Nicolas Marie, Amélie Rosier. Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes. Scandinavian Journal of Statistics, Wiley, 2022, ⟨10.1111/sjos.12593⟩. ⟨hal-03226531v3⟩

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