Temporally Local Maximum Likelihood with Application to SIS Model.

The parametric estimators applied by rolling are commonly used for the analysis of time series with nonlinear patterns, including time varying parameters and local trends. This paper examines the properties of rolling estimators in the class of temporally local maximum likelihood (TLML) estimators. We consider the TLML estimators of (a) constant parameters, (b) stochastic, stationary parameters and (c) parameters with the ultra-long run (ULR) dynamics bridging the gap between the constant and stochastic parameters. We show that the weights used in the TLML estimators have a strong impact on the inference. For illustration, we provide a simulation study of the epidemiological susceptible-infected-susceptible (SIS) model, which explores the finite sample performance of TLML estimators of a time varying contagion parameter.