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arXiv · 2105.06884

Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes

Nicolas Marie·Amélie Rosier
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Abstract

This paper deals with a nonparametric Nadaraya-Watson estimator $\hat b$ of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on $\hat b$ 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 $\hat b$. Finally, some numerical experiments are provided.

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Nicolas Marie, Amélie Rosier. 2021-05-14. Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes. https://doi.org/10.1111/sjos.12593

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