Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes
Statistics Theory
2026-05-28 v3 Statistics Theory
Abstract
This paper deals with a nonparametric Nadaraya-Watson (NW) estimator of the transition density function computed from independent continuous observations of a diffusion process. A risk bound is established on this estimator. The paper also deals with an extension of the penalized comparison to overfitting bandwidths selection method for our NW estimator. Finally, numerical experiments are provided.
Keywords
Cite
@article{arxiv.2502.14498,
title = {Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes},
author = {Nicolas Marie and Ousmane Sacko},
journal= {arXiv preprint arXiv:2502.14498},
year = {2026}
}
Comments
24 pages, 4 figures