14 citations · 15 across the 5 of their papers we have counts for
5 papers
Note on Error Bound for Trace Approximation of Products of Toeplitz Matrices
Tetsuya Takabatake
We investigate error orders for integral limit approximations to traces of products of Toeplitz matrices generated by integrable functions on having some singularities at…
Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations
Tetsuya Takabatake
Consider an estimation of the Hurst parameter and the volatility parameter for a fractional Brownian motion with a drift term under high-frequency observations wi…
Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations
Kohei Chiba, Tetsuya Takabatake
We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst…
Is Volatility Rough ?
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal
Rough volatility models are continuous time stochastic volatility models where the volatility process is driven by a fractional Brownian motion with the Hurst parameter smaller tha…
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
Masaaki Fukasawa, Tetsuya Takabatake
This paper proposes feasible asymptotically efficient estimators for a certain class of Gaussian noises with self-similar and stationary properties, which includes the fractional G…