Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes
Abstract
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.
- Publication:
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arXiv e-prints
- Pub Date:
- February 2024
- DOI:
- 10.48550/arXiv.2403.00186
- arXiv:
- arXiv:2403.00186
- Bibcode:
- 2024arXiv240300186M
- Keywords:
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- Mathematics - Statistics Theory
- E-Print:
- 18 pages, 2 figures