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This chapter focuses on the projection least squares estimator of the drift function computed from independent or sparse dependent copies of a diffusion process. Precisely, risk bounds on \(\widehat{b}_m\) (m fixed) and on an adaptive version of this estimator are established.

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The Projection Least Squares Estimator of the Drift Function

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  • 发表日期：

    2025年

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  • Nicolas Marie

摘要

This chapter focuses on the projection least squares estimator of the drift function computed from independent or sparse dependent copies of a diffusion process. Precisely, risk bounds on \(\widehat{b}_m\) (m fixed) and on an adaptive version of this estimator are established.