17 citations · 22 across the 17 of their papers we have counts for
13 papers · 1 filter
Local increment inference for time-inhomogeneous drift in Gaussian processes
Yasutaka Shimizu
We study statistical inference for deterministic drifts in Gaussian process models under high-frequency observations over an expanding time horizon. Using a least squares-type cont…
Statistical inference for discretely sampled stochastic functional differential equations with small noise
Hiroki Nemoto, Yasutaka Shimizu
Estimating parameters of drift and diffusion coefficients for multidimensional stochastic delay equations with small noise are considered. The delay structure is written as an inte…
Semiparametric Estimation of Optimal Dividend Barrier for Spectrally Negative Lévy Process
Yasutaka Shimizu, Hiroshi Shiraishi
We disucss a statistical estimation problem of an optimal dividend barrier when the surplus process follows a Lévy insurance risk process. The optimal dividend barrier is defined a…
Threshold estimation for jump-diffusions under small noise asymptotics
Mitsuki Kobayashi, Yasutaka Shimizu
We consider parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-typ…
Estimating the finite-time ruin probability of a surplus with a long memory via Malliavin calculus
Shota Nakamura, Yasutaka Shimizu
We consider a surplus process of drifted fractional Brownian motion with the Hurst index , which appears as a functional limit of drifted compound Poisson risk models with c…
Least squares estimators for discretely observed stochastic processes driven by small fractional noise
S. Nakajima, S. Nakamura, Y. Shimizu
We study the problem of parameter estimation for discretely observed stochastic differential equations driven by small fractional noise. Under some conditions, we obtain strong con…
Least squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
Mitsuki Kobayashi, Yasutaka Shimizu
We consider stochastic differential equations (SDEs) driven by small Lévy noise with some unknown parameters, and propose a new type of least squares estimators based on discrete s…
Parameter estimation of stochastic differential equation driven by small fractional noise
Shohei Nakajima, Yasutaka Shimizu
We study the problem of parametric estimation for continuously observed stochastic processes driven by additive small fractional Brownian motion with Hurst index 0<H<1/2 and 1/2<H<…
Asymptotic normality of least squares estimators to stochastic differential equations driven by fractional Brownian motions
Yasutaka Shimizu, Shohei Nakajima
We will consider the following stochastic differential equation (SDE): \begin{equation} X_t=X_0+\int_0^tb(X_s,θ_0)ds+σB_t,~~~t\in(0,T], \end{equation} where is a…
Asymptotic distributions for estimated expected functionals of general random elements
Yasutaka Shimizu
We consider an estimation problem of expected functionals of a general random element that values in a metric space. If the functional forms an explicit function of some unknown pa…
Moment convergence of the generalized maximum composite likelihood estimators for determinantal point processes
Kou Fujimori, Sota Sakamoto, Yasutaka Shimizu
The maximum composite likelihood estimator for parametric models of determinantal point processes (DPPs) is discussed. Since the joint intensities of these point processes are give…
Threshold estimation for stochastic processes with small noise
Yasutaka Shimizu
Consider a process satisfying a stochastic differential equation with unknown drift parameter, and suppose that discrete observations are given. It is known that a simple least squ…
Least squares estimators for discretely observed stochastic processes driven by small Levy noises
Hongwei Long, Yasutaka Shimizu, Wei Sun
We study the problem of parameter estimation for discretely observed stochastic processes driven by additive small Lévy noises. We do not impose any moment condition on the driving…