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scientific article; zbMATH DE number 7660132

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English	No label defined	scientific article; zbMATH DE number 7660132

Statements

scholarly article

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Masayuki Uchida

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publication date

7 March 2023

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Volatility estimators for discretely sampled Lévy processes

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Testing for jumps in a discretely observed process

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A new look at the statistical model identification

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Martingale estimation functions for discretely observed diffusion processes

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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory

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Volatility estimation for stochastic PDEs using high-frequency observations

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Local asymptotic normality property for fractional Gaussian noise under high-frequency observations

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An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter

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High-frequency analysis of parabolic stochastic PDEs

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Drift estimation for discretely sampled SPDEs

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A note on parameter estimation for discretely sampled SPDEs

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Stochastic Equations in Infinite Dimensions

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Schwarz type model comparison for LAQ models

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Schwartz‐type model selection for ergodic stochastic differential equation models

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Parameter estimation by contrast minimization for noisy observations of a diffusion process

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Estimating functions for noisy observations of ergodic diffusions

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Inference for Diffusion Processes

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AIC type statistics for discretely observed ergodic diffusion processes

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Realized volatility with stochastic sampling

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Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations

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On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

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Estimation for stochastic differential equations with a small diffusion coefficient

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Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach

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LAN property for ergodic diffusions with discrete observations

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On covariance estimation of non-synchronously observed diffusion processes

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On generating fully discrete samples of the stochastic heat equation on an interval

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Parameter estimation for SPDEs based on discrete observations in time and space

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Simulation and inference for stochastic differential equations. With R examples.

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Simulation and Inference for Stochastic Processes with YUIMA

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Asymptotic properties of realized power variations and related functionals of semimartingales

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Discretization of processes.

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Hybrid estimation for ergodic diffusion processes based on noisy discrete observations

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Hybrid estimators for small diffusion processes based on reduced data

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Hybrid estimators for stochastic differential equations from reduced data

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Parametric estimation for a parabolic linear SPDE model based on discrete observations

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Adaptive estimator for a parabolic linear SPDE with a small noise

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HYBRID ESTIMATION FOR AN ERGODIC DIFFUSION PROCESS BASED ON REDUCED DATA

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Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution

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Hybrid multi-step estimators for stochastic differential equations based on sampled data

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Estimation of an Ergodic Diffusion from Discrete Observations

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Statistical Methods for Stochastic Differential Equations

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Adaptive test statistics for ergodic diffusion processes sampled at discrete times

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Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data

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Inference for time-varying lead-lag relationships from ultra-high-frequency data

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Information criteria and statistical modeling.

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Statistical inference for ergodic diffusion processes.

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Exponential families of stochastic processes

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An Introduction to Computational Stochastic PDEs

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Fourier series method for measurement of multivariate volatilities

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Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps

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Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes

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Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

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Two-step estimation of ergodic Lévy driven SDE

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Stochastic calculus for fractional Brownian motion and related processes.

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Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise

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Inference for ergodic diffusions plus noise

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Adaptive test for ergodic diffusions plus noise

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Adaptive Bayes Estimators and Hybrid Estimators for Small Diffusion Processes Based on Sampled Data

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Quasi-likelihood analysis for the stochastic differential equation with jumps

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Quasi-likelihood analysis for nonsynchronously observed diffusion processes

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Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise

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Bipower-type estimation in a noisy diffusion setting

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Statistical Inference for Fractional Diffusion Processes

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Threshold selection in jump-discriminant filter for discretely observed jump processes

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Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

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Estimation of parameters for diffusion processes with jumps from discrete observations

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Small-diffusion asymptotics for discretely sampled stochastic differential equations

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Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions

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Approximate martingale estimating functions for stochastic differential equations with small noises

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Contrast-based information criterion for ergodic diffusion processes from discrete observations

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Information criteria in model selection for mixing processes

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Information criteria for small diffusions via the theory of Malliavin-Watanabe

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Estimation for misspecified ergodic diffusion processes from discrete observations

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Adaptive estimation of an ergodic diffusion process based on sampled data

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Quasi likelihood analysis of volatility and nondegeneracy of statistical random field

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Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations

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Estimation for diffusion processes from discrete observation

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Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

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Partial quasi-likelihood analysis

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.11329/JJSSJ.51.245

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Sitelinks

Mathematics(1 entry)

mardi Publication:5879927

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