Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
Nicolas Marie, Amélie Rosier
Abstract
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.
Topics & Concepts
MathematicsEstimatorWatsonNonparametric statisticsDiffusion processDiffusionBandwidth (computing)Applied mathematicsStatisticsInnovation diffusionComputer scienceArtificial intelligencePhysicsTelecommunicationsKnowledge managementThermodynamicsStatistical Methods and InferenceStochastic processes and financial applicationsAdvanced Control Systems Optimization