3 papers
math.ST2021
Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes
Teppei Ogihara, Yuma Uehara
We study sufficient conditions for local asymptotic mixed normality. We weaken the sufficient conditions in Theorem 1 of Jeganathan (Sankhya Ser. A 1982) so that they can be applie…
math.ST2019
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…
stat.ME2018
Estimating Diffusion With Compound Poisson Jumps Based On Self-normalized Residuals
Hiroki Masuda, Yuma Uehara
We consider parametric estimation of the continuous part of a class of ergodic diffusions with jumps based on high-frequency samples. Various papers previously proposed threshold b…