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Journal Articles Scandinavian Journal of Statistics Year : 2022

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

Abstract

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

hal-03226531 , version 1 (14-05-2021)
hal-03226531 , version 2 (15-12-2021)
hal-03226531 , version 3 (19-04-2022)

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Nicolas Marie, Amélie Rosier. Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes. Scandinavian Journal of Statistics, 2022, 50 (2), pp.589-637. ⟨10.1111/sjos.12593⟩. ⟨hal-03226531v3⟩
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