Nadaraya–Watson estimator for I.I.D. paths of diffusion processes

DOI10.1111/SJOS.12593arXiv2105.06884MaRDI QIDQ6073418FDOQ6073418

Authors: Nicolas Marie, Amélie Rosier 

Publication date: 11 October 2023

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: This paper deals with a nonparametric Nadaraya-Watson estimator $hatb$ of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on $hatb$ 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 $hatb$. Finally, some numerical experiments are provided.

Full work available at URL: https://arxiv.org/abs/2105.06884

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zbMATH Keywords

cross validationNadaraya-Watson estimatordiffusion processesnonparametric drift estimationPCO method

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (6)

• Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
• Nonparametric drift estimation from diffusions with correlated Brownian motions
• On a projection least squares estimator for jump diffusion processes
• Reweighted Nadaraya-Watson estimation of jump-diffusion models

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