Nonparametric estimation from correlated copies of a drifted process
Abstract
This paper presents several situations leading to the observation of multiple correlated copies of a drifted process, and then non-asymptotic risk bounds are established on nonparametric estimators of the drift function $b_0$ and its derivative. For drifted Gaussian processes with a regular enough covariance function, a sharper risk bound is established on the estimator of $b_0'$, and a model selection procedure is provided with theoretical guarantees.
Fields of Study & Subjects
Statistical Methods and Inference
Gaussian Processes and Bayesian Inference
Probability and Statistical Research
Publication details
- Journal / source
- Journal of Multivariate Analysis
- Volume
- 213
- Pages
- 105607–105607
- Publication date
- 17 January 2026
- Language
- EN