Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866913164779585536 |
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| author | Marie, Nicolas Sacko, Ousmane |
| author_facet | Marie, Nicolas Sacko, Ousmane |
| contents | This paper deals with a nonparametric Nadaraya-Watson (NW) estimator of the transition density function computed from independent continuous observations of a diffusion process. A risk bound is established on this estimator. The paper also deals with an extension of the penalized comparison to overfitting bandwidths selection method for our NW estimator. Finally, numerical experiments are provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_14498 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes Marie, Nicolas Sacko, Ousmane Statistics Theory This paper deals with a nonparametric Nadaraya-Watson (NW) estimator of the transition density function computed from independent continuous observations of a diffusion process. A risk bound is established on this estimator. The paper also deals with an extension of the penalized comparison to overfitting bandwidths selection method for our NW estimator. Finally, numerical experiments are provided. |
| title | Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2502.14498 |