Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes
Abstract
This paper deals with a nonparametric Nadaraya-Watson estimator b of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on b 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 b. Finally, some numerical experiments are provided.
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