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Nadaraya–Watson estimator for I.I.D. paths of diffusion processes.
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- Author(s): Marie, Nicolas1 (AUTHOR) ; Rosier, Amélie1,2 (AUTHOR)
- Source:
Scandinavian Journal of Statistics. Jun2023, Vol. 50 Issue 2, p589-637. 49p.- Subject Terms:
- Source:
- Additional Information
- Abstract: This paper deals with a nonparametric Nadaraya–Watson (NW) estimator of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on the estimator 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 our NW estimator. Finally, some numerical experiments are provided. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Scandinavian Journal of Statistics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Abstract:
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