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

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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…