2021
DOI: 10.48550/arxiv.2105.04390
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Statistical inference for continuous-time locally stationary processes using stationary approximations

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, θ-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 sequenc… Show more

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