Talk on Locally Stationary Processes -- From Approximations to Statistical Inference
Introductary talk to continuous-time locally stationary processes.
Oct 1, 2021 12:00 PM
Statistical inference for continuous-time locally stationary processes using stationary approximations
We establish asymptotic properties of M-estimator based on observations from a continuous-time locally stationary process. Simulation studies show the applicability of the estimation procedures.