Quasi-likelihood analysis and its applications
DOI10.1007/s11203-021-09266-0zbMath1502.62086OpenAlexW4213058358MaRDI QIDQ2137733
Publication date: 16 May 2022
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-021-09266-0
diffusion processadaptive estimatorpoint processLévy processquasi-maximum likelihood estimatorvolatilityquasi-likelihoodinformation criterionsparse estimationjump-diffusion processnon-synchronous observationsIbragimov-Khasminskii theoryjump filterlocally asymptotically quadratic random fieldpolynomial type large deviationquasi-Bayesian estimator
Asymptotic properties of parametric estimators (62F12) Random fields; image analysis (62M40) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Large deviations (60F10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
- Quasi-likelihood analysis for the stochastic differential equation with jumps
- Nonsynchronous covariation process and limit theorems
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Asymptotic behavior of M-estimator and related random field for diffusion process
- Penalized least squares approximation methods and their applications to stochastic processes
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Contrast-based information criterion for ergodic diffusion processes from discrete observations
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Estimation for diffusion processes from discrete observation
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Statistical inference for spatial Poisson processes
- Statistical inference for ergodic diffusion processes.
- Method of moments estimators and multi-step MLE for Poisson processes
- Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
- Schwarz type model comparison for LAQ models
- On covariance estimation of non-synchronously observed diffusion processes
- Fourier series method for measurement of multivariate volatilities
- Martingale expansion in mixed normal limit
- Global jump filters and quasi-likelihood analysis for volatility
- Asymptotic expansion of Skorohod integrals
- Partial quasi-likelihood analysis
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- Statistical inference for ergodic point processes and application to limit order book
- On the multi-step MLE-process for ergodic diffusion
- AIC for the non-concave penalized likelihood method
- Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
- Simulation and Inference for Stochastic Processes with YUIMA
- Asymptotic theory for non-linear least squares estimator for diffusion processes
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book
- Estimation of an Ergodic Diffusion from Discrete Observations
- Modelling intensities of order flows in a limit order book
- Asymptotic Behavior of Some Statistical Estimators II. Limit Theorems for the a Posteriori Density and Bayes’ Estimators
- Asymptotic Behavior of Statistical Estimators in the Smooth Case. I. Study of the Likelihood Ratio
- Analyzing order flows in limit order books with ratios of Cox-type intensities
This page was built for publication: Quasi-likelihood analysis and its applications
