Semiparametric segment M-estimation for locally stationary diffusions

• 成果类型: Article
• 署名作者: Deleamont, P-Y; La Vecchia, D.
• 署名单位: University of Geneva
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asz042
• 发表日期: 2019
• 页码: 941956
• 关键词: maximum-likelihood-estimation; polynomial diffusions; term structure; time-series; models

摘要

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.