Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes

Nicolas Marie; Amélie Rosier

Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes

Statistics Theory 2024-03-04 v1 Statistics Theory

Authors: Nicolas Marie , Amélie Rosier

Abstract

This paper deals with a nonparametric warped kernel estimator $\widehat b$ of the drift function computed from independent continuous observations of a diffusion process. A risk bound on $\widehat b$ is established. The paper also deals with an extension of the PCO bandwidth selection method for $\widehat b$ . Finally, some numerical experiments are provided.

Keywords

diffusion processes

Cite

@article{arxiv.2403.00186,
  title  = {Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes},
  author = {Nicolas Marie and Amélie Rosier},
  journal= {arXiv preprint arXiv:2403.00186},
  year   = {2024}
}

Comments

18 pages, 2 figures

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