Nadaraya-Watson Type Estimator of the Transition Density Function for Diffusion Processes
arXiv:2502.14498
Abstract
This paper deals with a nonparametric Nadaraya-Watson (NW) estimator of the transition density function computed from independent continuous observations of a diffusion process. A risk bound is established on this estimator. The paper also deals with an extension of the penalized comparison to overfitting bandwidths selection method for our NW estimator. Finally, numerical experiments are provided.
24 pages, 4 figures