Rates of convergence of a binary classification procedure for time-homogeneous S.D.E paths (2501.15926v2)

Abstract: In the context of binary classification of trajectories generated by time-homogeneous stochastic differential equations, we consider a mixture model of two diffusion processes characterized by a stochastic differential equation whose drift coefficient depends on the class or label, which is modeled as a discrete random variable taking two possible values and whose diffusion coefficient is independent of the class. We assume that the drift and diffusion coefficients are unknown as well as the law of the discrete random variable that models the class. In this paper, we study the minimax convergence rate of the resulting nonparametric plug-in classifier under different sets of assumptions on the mixture model considered. As the plug-in classifier is based on nonparametric estimators of the coefficients of the mixture model, we also study a minimax convergence rate of the risk of estimation of the drift coefficients on the real line.