Nonparametric plug‐in classifier for multiclass classification of S.D.E. paths
研究特征来自时间齐次扩散混合的多分类问题，基于漂移和扩散函数的非参数估计构建插件分类器，证明一致性并给出收敛速度，数值实验支持理论结果。
Abstract We study the multiclass classification problem where the features come from a mixture of time‐homogeneous diffusions. Specifically, the classes are discriminated by their drift functions while the diffusion coefficient is common to all classes and unknown. In this framework, we build a plug‐in classifier which relies on nonparametric estimators of the drift and diffusion functions. We first establish the consistency of our classification procedure under mild assumptions and then provide rates of convergence under different set of assumptions. Finally, a numerical study supports our theoretical findings.