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math.ST2025
Predictive information criterion for jump diffusion processes
Yuma Uehara
In this paper, we address a model selection problem for ergodic jump diffusion processes based on high-frequency samples. We evaluate the expected genuine log-likelihood function a…
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…