Estimation of parameters for diffusion processes with jumps from discrete observations

DOI10.1007/S11203-005-8114-XzbMATH Open1125.62089OpenAlexW2011131366MaRDI QIDQ849862FDOQ849862

Nakahiro Yoshida, Yasutaka Shimizu

Publication date: 14 November 2006

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

Full work available at URL: https://doi.org/10.1007/s11203-005-8114-x

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• scientific article; zbMATH DE number 1281985
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zbMATH Keywords

asymptotic normalityasymptotic efficiencycontrast function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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• A review on stochastic differential equations for applications in hydrology
• An approximation of American option prices in a jump-diffusion model
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Cited In (76)

• On a family of test statistics for discretely observed diffusion processes
• Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations
• Threshold selection in jump-discriminant filter for discretely observed jump processes
• Least squares estimation for path-distribution dependent stochastic differential equations
• A multi-parameter regularization approach for estimating parameters in jump diffusion processes
• A new aspect of a risk process and its statistical inference
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Local Linear Estimation of Second-order Jump-diffusion Model
• A central limit theorem for the functional estimation of the spot volatility
• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Parameter estimation for ergodic linear SDEs from partial and discrete observations
• Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Local \(M\)-estimation for jump-diffusion processes
• Realized Laplace transforms for pure-jump semimartingales
• Hybrid estimators for stochastic differential equations from reduced data
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• Jump‐robust testing of volatility functions in continuous time models
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
• Estimation and prediction of a non-constant volatility
• Functional estimation for Lévy measures of semimartingales with Poissonian jumps
• Model selection for Lévy measures in diffusion processes with jumps from discrete observations
• Quasi-likelihood analysis and its applications
• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes
• Efficient estimation and filtering for multivariate jump-diffusions
• Non-parametric adaptive estimation of the drift for a jump diffusion process
• On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations
• Estimation of intrinsic growth factors in a class of stochastic population model
• Asymptotic inference for jump diffusions with state-dependent intensity
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps
• Title not available (Why is that?)
• Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
• Parametric estimation for discretely observed stochastic processes with jumps
• Statistical specification of jumps under semiparametric semimartingale models
• Real-time estimation scheme for the spot cross volatility of jump diffusion processes
• Threshold estimation for jump-diffusions under small noise asymptotics
• Quasi likelihood analysis of volatility and nondegeneracy of statistical random field
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
• Global jump filters and quasi-likelihood analysis for volatility
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
• Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
• Estimating functions for jump-diffusions
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
• Title not available (Why is that?)
• Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Variance reduction estimation for return models with jumps using gamma asymmetric kernels
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• LAN property for an ergodic diffusion with jumps
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
• Regularized bridge-type estimation with multiple penalties
• Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Comparison of jump-diffusion parameters using passage times estimation
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• Efficient drift parameter estimation for ergodic solutions of backward SDEs
• Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
• Testing for the presence of jump components in jump diffusion models
• Least squares estimators for stochastic differential equations with Markovian switching
• Title not available (Why is that?)

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