The Nadaraya-Watson Estimator of the Drift Function

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发表日期：

2025年

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Nicolas Marie

摘要

This chapter focuses on the 2-bandwidths Nadaraya-Watson estimator computed from independent copies of a diffusion process. Precisely, risk bounds on \({\widehat{b}}_{h,\texttt {h}}\) ( \(h,\texttt {h} > 0\) fixed) and on a PCO-adaptive version of this estimator are established.

This chapter focuses on the 2-bandwidths Nadaraya-Watson estimator computed from independent copies of a diffusion process. Precisely, risk bounds on \({\widehat{b}}_{h,\texttt {h}}\) ( \(h,\texttt {h} &gt; 0\) fixed) and on a PCO-adaptive version of this estimator are established.

The Nadaraya-Watson Estimator of the Drift Function

摘要

This chapter focuses on the 2-bandwidths Nadaraya-Watson estimator computed from independent copies of a diffusion process. Precisely, risk bounds on \({\widehat{b}}_{h,\texttt {h}}\) ( \(h,\texttt {h} > 0\) fixed) and on a PCO-adaptive version of this estimator are established.