Semiparametric segment M-estimation for locally stationary diffusions

被引：0
|
作者：
Deleamont, P-Y [1 ]
La Vecchia, D. [1 ]
机构：
[1] Univ Geneva, Res Ctr Stat, Blv Pont dArve 40, CH-1211 Geneva, Switzerland
来源：
BIOMETRIKA | 2019年 / 106卷 / 04期
基金：
瑞士国家科学基金会;
关键词：
Biological signal; Kernel estimation; Martingale estimating function; Polynomial diffusion; MAXIMUM-LIKELIHOOD-ESTIMATION; POLYNOMIAL DIFFUSIONS; TERM STRUCTURE; TIME-SERIES; MODELS;
D O I：
10.1093/biomet/asz042
中图分类号：
Q [生物科学];
学科分类号：
07 ; 0710 ; 09 ;
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.
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页码：941 / 956
页数：16
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