Nonparametric plug‐in classifier for multiclass classification of S.D.E. paths

Christophe Denis, Charlotte Dion‐Blanc, Eddy Ella‐Mintsa and Viet Chi Tran

Scandinavian Journal of Statistics, 2024, vol. 51, issue 3, 1103-1160

Abstract: We study the multiclass classification problem where the features come from a mixture of time‐homogeneous diffusions. Specifically, the classes are discriminated by their drift functions while the diffusion coefficient is common to all classes and unknown. In this framework, we build a plug‐in classifier which relies on nonparametric estimators of the drift and diffusion functions. We first establish the consistency of our classification procedure under mild assumptions and then provide rates of convergence under different set of assumptions. Finally, a numerical study supports our theoretical findings.

Date: 2024
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https://doi.org/10.1111/sjos.12702

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:51:y:2024:i:3:p:1103-1160

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