Semiparametric segment M-estimation for locally stationary diffusions
Author(s)
La Vecchia, Davide
Date issued
2019
In
Biometrika
Vol
4
No
106
From page
941
To page
956
Reviewed by peer
1
Subjects
Biological signal kernel estimation martingale estimating function polynomial diffusion
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
File(s)