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Semiparametric segment M-estimation for locally stationary diffusions
Auteur(s)
La Vecchia, Davide
Date de parution
2019
In
Biometrika
Vol.
4
No
106
De la page
941
A la page
956
Revu par les pairs
1
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.
Identifiants
Type de publication
journal article
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