Contrast estimation of general locally stationary processes using coupling
From MaRDI portal
Publication:6340758
arXiv2005.07397MaRDI QIDQ6340758FDOQ6340758
Authors: Jean-Marc Bardet, Paul Doukhan, Olivier Wintenberger 
Publication date: 15 May 2020
Abstract: This paper aims at providing statistical guarantees for a kernel based estimation of time varying parameters driving the dynamic of local stationary processes. We extend the results of Dahlhaus et al. (2018) considering the local stationary version of the infinite memory processes of Doukhan and Wintenberger (2008). The estimators are computed as localized M-estimators of any contrast satisfying appropriate contraction conditions. We prove the uniform consistency and pointwise asymptotic normality of such kernel based estimators. We apply our result to usual contrasts such as least-square, least absolute value, or quasi-maximum likelihood contrasts. Various local-stationary processes as ARMA, AR(infty), GARCH, ARCH(infty), ARMA-GARCH, LARCH(infty),..., and integer valued processes are also considered. Numerical experiments demonstrate the efficiency of the estimators on both simulated and real data sets.
This page was built for publication: Contrast estimation of general locally stationary processes using coupling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6340758)
