Semiparametric segment M-estimation for locally stationary diffusions

P -Y Deléamont and D La Vecchia

Biometrika, 2019, vol. 106, issue 4, 941-956

Abstract: SummaryWe 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.

Keywords: Biological signal; Kernel estimation; Martingale estimating function; Polynomial diffusion (search for similar items in EconPapers)
Date: 2019
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