Semiparametric segment M-estimation for locally stationary diffusions
局部平稳扩散过程的半参数分段 M 估计
Summary We develop and implement a novel M-estimation method for locally stationary diffusions observed at discrete time-points. We give sufficient conditions for the local stationarity of general time-inhomogeneous diffusions. Then we focus on locally stationary diffusions with time-varying parameters, for which we define our M-estimators and derive their limit theory.