Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes
Statistics Theory
2023-06-13 v3 Statistics Theory
Abstract
This paper deals with a nonparametric Nadaraya-Watson estimator of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on 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 . Finally, some numerical experiments are provided.
Keywords
Cite
@article{arxiv.2105.06884,
title = {Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes},
author = {Nicolas Marie and Amélie Rosier},
journal= {arXiv preprint arXiv:2105.06884},
year = {2023}
}
Comments
40 pages, 6 figures