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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…
Quasi-Likelihood Analysis for Student-Lévy Regression
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. The model is observ…
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…
Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models
Yuma Uehara
In this paper, we consider possibly misspecified stochastic differential equation models driven by Lévy processes. Regardless of whether the driving noise is Gaussian or not, Gauss…
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…
Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
Yuma Uehara
This paper deals with the estimation problem of misspecified ergodic Lévy driven stochastic differential equation models based on high-frequency samples. We utilize the widely appl…
Two-step estimation of ergodic Lévy driven SDE
Hiroki Masuda, Yuma Uehara
We consider high frequency samples from ergodic Lévy driven stochastic differential equation (SDE) with drift coefficient and scale coefficient involving unknown…