Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process

DOI10.1016/j.spa.2018.04.004zbMath1450.62106arXiv1608.06758OpenAlexW2964030015MaRDI QIDQ1730944

Hiroki Masuda

Publication date: 6 March 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06758

zbMATH Keywords

stochastic differential equationshigh-frequency samplingasymptotic mixed normalitylocally stable Lévy processstable quasi-likelihood function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Estimation of state-dependent jump activity and drift for Markovian semimartingales, Joint estimation for SDE driven by locally stable Lévy processes, Parameter estimation for a discrete time model driven by fractional Poisson process, Gaussian quasi-information criteria for ergodic Lévy driven SDE, Parameter estimation for ergodic linear SDEs from partial and discrete observations, Optimal stable Ornstein-Uhlenbeck regression, Regularized bridge-type estimation with multiple penalties, Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails, LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process, Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models, Nonparametric Gaussian inference for stable processes, Estimating functions for SDE driven by stable Lévy processes

Uses Software

• R

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