Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes

Abstract

This paper deals with a nonparametric warped kernel estimator $\hat{b}$ of the drift function computed from independent continuous observations of a diffusion process. A risk bound on $\hat{b}$ is established. The paper also deals with an extension of the PCO bandwidth selection method for $\hat{b}$. Finally, some numerical experiments are provided.

18 pages, 2 figures