Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
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Publication:6073418
Abstract: This paper deals with a nonparametric Nadaraya-Watson estimator of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on 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 . Finally, some numerical experiments are provided.
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Cited in
(6)- Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
- Parametric inference for ergodic McKean-Vlasov stochastic differential equations
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