2 citations · 3 across the 4 of their papers we have counts for
4 papers · 1 filter
Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions driven by two types -Wiener processe…
Change point inference in ergodic diffusion processes based on high frequency data
Yozo Tonaki, Masayuki Uchida
We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffu…
Estimation for change point of discretely observed ergodic diffusion processes
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and…
Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-…