Direct Estimation of Schrödinger Bridge Time-Series Drifts: Finite-Sample, Asymptotic, and Adaptive Guarantees
薛定谔桥时间序列漂移的直接估计:有限样本、渐近与自适应保证
We study nonparametric estimation of Schrödinger bridge (SB) drifts from i.i.d.\ data observed on a single time interval. Starting from the conditional-ratio form of the Schrödinger bridge time-series (SBTS) drift formula, we analyze a direct Nadaraya--Watson plug-in estimator built from kernelized numerator and denominator terms. Unlike recent SB analyses based on entropic-OT potentials, Sinkhorn iterations, or iterative bridge solvers, our approach works directly at the…