Statistical inference for continuous-time locally stationary processes using stationary approximations

arXiv2105.04390MaRDI QIDQ6367272FDOQ6367272

Authors: Bennet Ströh 

Publication date: 10 May 2021

Abstract: We establish asymptotic properties of $M$-estimators, defined in terms of a contrast function and observations from a continuous-time locally stationary process. Using the stationary approximation of the sequence, $heta$-weak dependence, and hereditary properties, we give sufficient conditions on the contrast function that ensure consistency and asymptotic normality of the $M$-estimator. As an example, we obtain consistency and asymptotic normality of a localized least squares estimator for observations from a sequence of time-varying L'evy-driven Ornstein-Uhlenbeck processes. Furthermore, for a sequence of time-varying L'evy-driven state space models, we show consistency of a localized Whittle estimator and an $M$-estimator that is based on a quasi maximum likelihood contrast. Simulation studies show the applicability of the estimation procedures.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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