Nonparametric Estimation in SDE Models Involving an Explanatory Process

Abstract

This paper deals with the process $X=(X_t{)}_{t\in [0,T]}$ defined by the stochastic differential equation (SDE) $d{X}_t=(a(X_t)+b(Y_t))dt+\ddot{I}ƒ(X_t)d{W}_1(t)$, where $W_1$ is a Brownian motion and $Y$ is an exogenous process. The first task - of probabilistic nature - is to properly define the model, to prove the existence and uniqueness of the solution of such an equation, and then to establish the existence and a suitable control of a density with respect to the Lebesgue measure of the distribution of $(X_t,Y_t)$ ($t>0$). In the second part of the paper, a risk bound and a rate of convergence in specific Sobolev spaces are established for a copies-based projection least squares estimator of the ${\mathbb{R}}^2$-valued function $(a,b)$. Moreover, a model selection procedure making the adequate bias-variance compromise both in theory and practice is investigated.

39 pages, 3 figures