| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5095593 | Journal of Econometrics | 2016 | 20 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yacine Aït-Sahalia, Joon Y. Park,