Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes

05/14/2021

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by   Nicolas Marie, et al.

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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. An extension of the leave-one-out cross validation bandwidth selection method for b and some numerical experiments are provided.