Semiparametric segment M-estimation for locally stationary diffusions

DOI10.1093/BIOMET/ASZ042MaRDI QIDQ5212915zbMATH OpenOpenAlexWikidataFDO

Authors Pierre-Yves Deléamont, Davide La Vecchia

Publication date 30 January 2020

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asz042

zbMATH Keywords

biological signalkernel estimationmartingale estimating functionpolynomial diffusion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Estimation in multivariate analysis (62H12) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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(5)

• A simple approach to the parametric estimation of potentially nonstationary diffusions
• Semiparametric Estimation by Model Selection for Locally Stationary Processes
• Weighted least squares estimations of time-varying parameters for local stationary diffusion model
• Estimation of semiparametric locally stationary diffusion models
• Some novel aspects of quantile regression: local stationarity, random forests, and optimal transportation

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