Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

被引：28

作者：

Ait-Sahalia, Yacine ^{[1
,2
]}

Park, Joon Y. ^{[3
,4
]}

机构：

[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA

[4] Sungkyunkwan Univ, Seoul, South Korea

来源：

JOURNAL OF ECONOMETRICS | 2016年 / 192卷 / 01期

关键词：

Kernel estimators; Locally linear estimators; Diffusions; Local time; Nonstationarity; DIFFUSION-COEFFICIENT;

D O I：

10.1016/j.jeconom.2015.11.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We derive the asymptotic properties of nonparametric estimators of the drift and diffusion functions, and the local time, of a discretely sampled diffusion process that is possibly nonstationary. We provide complete two-dimensional asymptotics in both the time span and the sampling interval, allowing for a precise characterization of their distribution, as well as the determination of optimal bandwidths for these estimators. (C) 2016 Published by Elsevier B.V.

引用

页码：119 / 138

页数：20

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