English

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

Statistics Theory 2021-05-11 v1 Probability Statistics Theory

Abstract

We establish asymptotic properties of MM-estimators, defined in terms of a contrast function and observations from a continuous-time locally stationary process. Using the stationary approximation of the sequence, θ\theta-weak dependence, and hereditary properties, we give sufficient conditions on the contrast function that ensure consistency and asymptotic normality of the MM-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 MM-estimator that is based on a quasi maximum likelihood contrast. Simulation studies show the applicability of the estimation procedures.

Keywords

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}
}
R2 v1 2026-06-24T01:56:53.045Z