Nonparametric Estimation from Correlated Copies of a Drifted Process
Abstract
This paper presents several situations leading to the observation of multiple correlated copies of a drifted process, and then non-asymptotic risk bounds are established on nonparametric estimators of the drift function b0 and its derivative. For drifted Gaussian processes with a regular enough covariance function, a sharper risk bound is established on the estimator of b0', and a model selection procedure is provided with theoretical guarantees.
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