Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866917601221804032 |
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| author | Marie, Nicolas Rosier, Amélie |
| author_facet | Marie, Nicolas Rosier, Amélie |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_00186 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes Marie, Nicolas Rosier, Amélie Statistics Theory 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. |
| title | Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2403.00186 |