3 citations · 6 across the 6 of their papers we have counts for
7 papers · 1 filter
Robustified Gaussian quasi-BIC for volatility
Shoichi Eguchi, Hiroki Masuda
We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the d…
Robustified Gaussian quasi-likelihood inference for volatility
Shoichi Eguchi, Hiroki Masuda
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps…
Gaussian quasi-information criteria for ergodic Lévy driven SDE
Shoichi Eguchi, Hiroki Masuda
We consider relative model comparison for the parametric coefficients of a semiparametric ergodic Lévy driven model observed at high-frequency. Our asymptotics is based on the full…
Schwartz type model selection for ergodic stochastic differential equation models
Shoichi Eguchi, Yuma Uehara
We study the construction of the theoretical foundation of model comparison for ergodic stochastic differential equation (SDE) models and an extension of the applicable scope of th…
Data driven time scale in Gaussian quasi-likelihood inference
Shoichi Eguchi, Hiroki Masuda
We study parametric estimation of ergodic diffusions observed at high frequency. Different from the previous studies, we suppose that sampling stepsize is unknown, thereby making t…
Schwarz type model comparison for LAQ models
Shoichi Eguchi, Hiroki Masuda
For model-specification purpose, we study asymptotic behavior of the marginal quasi-log likelihood associated with a family of locally asymptotically quadratic (LAQ) statistical ex…
Model comparison for generalized linear models with dependent observations
Shoichi Eguchi
The stochastic expansion of the marginal quasi-likelihood function associated with a class of generalized linear models is shown. Based on the expansion, a quasi-Bayesian informati…