On a Strictly Decreasing Nonparametric Estimator of the Drift Function for Recurrent Diffusion Processes
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arXiv
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866915863136829440 |
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| author | Marie, Nicolas |
| author_facet | Marie, Nicolas |
| contents | This paper deals with a copies-based continuously differentiable and strictly decreasing estimator of the drift function for stochastic differential equations defining recurrent diffusion processes. The first part of our paper deals with non-asymptotic $\mathbb L^1$-risk bounds and a bandwidths selection procedure for a universal monotone estimator. These results are tailor-made to our framework, and then applied to the estimation of the drift function of recurrent diffusion processes in the second part of the paper. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_14037 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | On a Strictly Decreasing Nonparametric Estimator of the Drift Function for Recurrent Diffusion Processes Marie, Nicolas Statistics Theory This paper deals with a copies-based continuously differentiable and strictly decreasing estimator of the drift function for stochastic differential equations defining recurrent diffusion processes. The first part of our paper deals with non-asymptotic $\mathbb L^1$-risk bounds and a bandwidths selection procedure for a universal monotone estimator. These results are tailor-made to our framework, and then applied to the estimation of the drift function of recurrent diffusion processes in the second part of the paper. |
| title | On a Strictly Decreasing Nonparametric Estimator of the Drift Function for Recurrent Diffusion Processes |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2603.14037 |