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20152025
most citedSchwartz type model selection for ergodic stochastic differential equation models

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stat.ME2021

Noise Inference For Ergodic Lévy Driven SDE

Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara

We study inference for the driving Lévy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the…

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…