大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Estimating the integrated parameter of the locally parametric model in high-frequency data

Yoann Potiron （慶應義塾大学）

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4. Estimating the integrated parameter of the locally parametric model in high-frequency data

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第74回

Estimating the integrated parameter of the locally parametric model in high-frequency data

Yoann Potiron （慶應義塾大学）

Abstract: In this paper, we give a general time-varying parameter model, where the multidimensional parameter follows a continuous local martingale. As such, we call it the locally parametric model (LPM). The quantity of interest is defined as the integrated value over time of the parameter process. We provide a local parametric estimator (LPE) based on the original (non time-varying) parametric model estimator and conditions under which we can show the central limit theorem. Practical applications in time series, such as the optimal block length and local bias-correction, are discussed and numerical simulations are carried on the local MLE of a time-varying parameter MA(1) model to illustrate them.