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

被引：27
|
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.
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页码：119 / 138
页数：20
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