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Semiparametric segment M-estimation for locally stationary diffusions
Auteur(s)
La Vecchia, Davide
Date Issued
2019
Journal
Biometrika
Vol.
4
No
106
From page
941
To page
956
Reviewed by peer
1
Abstract
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.
Publication type
journal article
