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.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics
- Kernel estimators
- Local time
- Locally linear estimators