Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
Author:
Affiliation:
1. Laboratoire Modal'X Université Paris Nanterre Nanterre France
2. ESME Sudria Paris France
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/sjos.12593
Reference28 articles.
1. On the stability and accuracy of least squares approximations;Cohen A.;Foundations of Computational Mathematics,2017
2. Regression function estimation as a partly inverse problem
3. Nonparametric drift estimation for I.I.D. paths of stochastic differential equations;Comte F.;The Annals of Statistics,2020
4. Drift estimation on non compact support for diffusion models
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