Nonparametric drift estimation for i.i.d. paths of stochastic differential equations (Q1996772)
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scientific article; zbMATH DE number 7315913
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| English | Nonparametric drift estimation for i.i.d. paths of stochastic differential equations |
scientific article; zbMATH DE number 7315913 |
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Nonparametric drift estimation for i.i.d. paths of stochastic differential equations (English)
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26 February 2021
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\(N\) independent stochastic processes (\(X_i(t)\), \(t\in [0,T ]\)), \(i = 1,\dots,N\), defined by a one-dimensional stochastic differential equation, which are continuously observed throughout a time interval \([0,T]\) where \(T\) is fixed, are considered. Nonparametric estimation of the drift function is examined. Upper bounds of risks are defined, the assumptions are discussed and simulation experiments are observed.
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diffusion process
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Hermite basis
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Laguerre basis
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model selection
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nonparametric drift estimation
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projection estimators
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0.840477705001831
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0.8396288156509399
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0.8143910765647888
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0.8142101168632507
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