Quasi-likelihood analysis for the stochastic differential equation with jumps

DOI10.1007/S11203-011-9057-ZMaRDI QIDQ644964zbMATH OpenOpenAlexWikidataFDO

Authors Teppei Ogihara, Nakahiro Yoshida

Publication date 7 November 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-011-9057-z

zbMATH Keywords

asymptotic normalityparametric inferencediscrete observationsBayes type analysisdiffusion process with jumpslarge deviation inequalityquasi-maximum likelihood analysis

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
• Parameter estimation for ergodic linear SDEs from partial and discrete observations
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• On the asymptotic properties of Bayes-type estimators with general loss functions
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• Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
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• Quasi-likelihood analysis for nonsynchronously observed diffusion processes
• Quasi-likelihood analysis and its applications
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• Partial quasi-likelihood analysis
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• Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
• Threshold estimation for jump-diffusions under small noise asymptotics
• Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
• Global jump filters and quasi-likelihood analysis for volatility
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• Estimating functions for jump-diffusions
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