Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes
Résumé
This paper deals with a nonparametric warped kernel estimator $\widehat b$ of the drift function computed from independent continuous observations of a diffusion process. A risk bound on $\widehat b$ is established. The paper also deals with an extension of the PCO bandwidth selection method for $\widehat b$. Finally, some numerical experiments are provided.
Fichier principal
Warped_Kernel_Estimator_for_IID_Paths_of_Diffusion_Processes.pdf (463.97 Ko)
Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)