English

Nonparametric Estimation in SDE Models Involving an Explanatory Process

Statistics Theory 2025-07-09 v1 Statistics Theory

Abstract

This paper deals with the process X=(Xt)t[0,T]X = (X_t)_{t\in [0,T]} defined by the stochastic differential equation (SDE) dXt=(a(Xt)+b(Yt))dt+σ(Xt)dW1(t)dX_t = (a(X_t) + b(Y_t))dt +\sigma(X_t)dW_1(t), where W1W_1 is a Brownian motion and YY is an exogenous process. The first task - of probabilistic nature - is to properly define the model, to prove the existence and uniqueness of the solution of such an equation, and then to establish the existence and a suitable control of a density with respect to the Lebesgue measure of the distribution of (Xt,Yt)(X_t,Y_t) (t>0t > 0). In the second part of the paper, a risk bound and a rate of convergence in specific Sobolev spaces are established for a copies-based projection least squares estimator of the R2\mathbb R^2-valued function (a,b)(a,b). Moreover, a model selection procedure making the adequate bias-variance compromise both in theory and practice is investigated.

Keywords

Cite

@article{arxiv.2507.06098,
  title  = {Nonparametric Estimation in SDE Models Involving an Explanatory Process},
  author = {Fabienne Comte and Nicolas Marie},
  journal= {arXiv preprint arXiv:2507.06098},
  year   = {2025}
}

Comments

39 pages, 3 figures

R2 v1 2026-07-01T03:51:52.533Z