Theory and Modern Applications
Table 1 The MSEs of Nadaraya–Watson estimator (MSE1) and variable bandwidth local M-estimator (MSE2) for drift function \(\mu (\cdot)\)
From: Variable bandwidth local maximum likelihood type estimation for diffusion processes
Sample size n | MSE1 | MSE2 |
|---|---|---|
n = 100 | 0.0628 | 0.0667 |
n = 500 | 0.0042 | 0.0036 |
n = 1000 | 0.0023 | 0.0019 |
n = 5000 | 0.0014 | 0.0011 |
n = 10,000 | 0.0012 | 0.0007 |