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

Yacine Aït-Sahalia; Joon Y. Park

doi:10.1016/j.jeconom.2015.11.002

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

Yacine Aït-Sahalia, Joon Y. Park

Research output: Contribution to journal › Article › peer-review

25 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	119-138
Number of pages	20
Journal	Journal of Econometrics
Volume	192
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2015.11.002
State	Published - May 1 2016

All Science Journal Classification (ASJC) codes

Economics and Econometrics

Keywords

Diffusions
Kernel estimators
Local time
Locally linear estimators
Nonstationarity

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10.1016/j.jeconom.2015.11.002

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abstract = "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.",

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AU - Aït-Sahalia, Yacine

AU - Park, Joon Y.

PY - 2016/5/1

Y1 - 2016/5/1

N2 - 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.

AB - 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.

KW - Diffusions

KW - Kernel estimators

KW - Local time

KW - Locally linear estimators

KW - Nonstationarity

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VL - 192

SP - 119

EP - 138

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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