Quasi-likelihood analysis for the stochastic differential equation with jumps
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Publication:644964
DOI10.1007/S11203-011-9057-ZzbMATH Open1225.62114OpenAlexW2082757146WikidataQ115380881 ScholiaQ115380881MaRDI QIDQ644964FDOQ644964
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
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asymptotic normalityparametric inferencediscrete observationsBayes type analysisdiffusion process with jumpslarge deviation inequalityquasi-maximum likelihood analysis
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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Cited In (37)
- On a family of test statistics for discretely observed diffusion processes
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
- Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations
- 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
- Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
- Hybrid estimators for stochastic differential equations from reduced data
- Least squares estimators for stochastic differential equations driven by small Lévy noises
- Jump filtering and efficient drift estimation for Lévy-driven SDEs
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Estimating diffusion with compound Poisson jumps based on self-normalized residuals
- Quasi-likelihood analysis and its applications
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Efficient drift parameter estimation for ergodic solutions of backward SDEs
- Partial quasi-likelihood analysis
- Title not available (Why is that?)
- 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
- Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
- Estimating functions for jump-diffusions
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise
- LAN property for a simple Lévy process
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- Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Recovering Brownian and jump parts from high-frequency observations of a Lévy process
- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
- LAN property for an ergodic diffusion with jumps
- Model selection for volatility prediction
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