Semiparametric segment M-estimation for locally stationary diffusions
Pierre-Yves Deléamont & Davide La Vecchia
| Résumé |
We develop and implement a novel M-estimation method for locally
stationary diffusions observed at discrete time-points. We give
sufficient conditions for the local stationarity of general
time-inhomogeneous diffusions. Then we focus on locally stationary
diffusions with time-varying parameters, for which we define our
M-estimators and derive their limit theory. |
| Mots-clés |
Biological signal, kernel estimation, martingale estimating function, polynomial diffusion |
| Citation | Deléamont, P. Y., & La Vecchia, D. (2019). Semiparametric segment M-estimation for locally stationary diffusions. Biometrika, 106(4), 941-956. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2019 |
| Nom du périodique | Biometrika |
| Volume | 106 |
| Numéro | 4 |
| Pages | 941-956 |