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Small dispersion asymptotics for an SPDE in two space dimensions using triple increments
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a -Wiener process with a…
QBIC of SEM for diffusion processes from discrete observations
Shogo Kusano, Masayuki Uchida
We deal with a model selection problem for structural equation modeling (SEM) with latent variables for diffusion processes. Based on the asymptotic expansion of the marginal quasi…
Estimation for the damping factor of the driving process of an SPDE in two space dimensions
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a -Wiener process based on h…
Small diffusivity asymptotics for a linear parabolic SPDE in two space dimensions
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider parameter estimation of the reaction term for a second order linear parabolic stochastic partial differential equation in two space dimensions driven by a -Wiener pr…
Quasi-Akaike information criterion of structural equation modeling with latent variables for diffusion processes
Shogo Kusano, Masayuki Uchida
We consider a model selection problem for structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. First, we propose the quasi…
Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation
Shogo Kusano, Masayuki Uchida
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. The quasi-likelihood estimators for parameters in the SEM…