Statistical inference for continuous-time locally stationary processes using stationary approximations
Abstract
We establish asymptotic properties of -estimators, defined in terms of a contrast function and observations from a continuous-time locally stationary process. Using the stationary approximation of the sequence, -weak dependence, and hereditary properties, we give sufficient conditions on the contrast function that ensure consistency and asymptotic normality of the -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 -estimator that is based on a quasi maximum likelihood contrast. Simulation studies show the applicability of the estimation procedures.
Cite
@article{arxiv.2105.04390,
title = {Statistical inference for continuous-time locally stationary processes using stationary approximations},
author = {Bennet Ströh},
journal= {arXiv preprint arXiv:2105.04390},
year = {2021}
}