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arXiv · 2502.14498

Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes

Nicolas Marie·Ousmane Sacko
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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.

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BibTeXRIS

Nicolas Marie, Ousmane Sacko. 2025-02-20. Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes. https://arxiv.org/abs/2502.14498

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