Nadaraya–Watson estimator for I.I.D. paths of diffusion processes
研究了从扩散过程的独立连续观测中估计漂移函数的非参数Nadaraya-Watson方法，给出了估计量的风险界及其离散时间近似的风险界，并扩展了两种带宽选择方法，最后提供了数值实验。
Abstract This paper deals with a nonparametric Nadaraya–Watson (NW) estimator of the drift function computed from independent continuous observations of a diffusion process. Risk bounds on the estimator 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 our NW estimator. Finally, some numerical experiments are provided.