3 papers
math.ST2025
Quasi-likelihood ratio test for jump-diffusion processes based on adaptive maximum likelihood inference
Hiromasa Nishikawa, Tetsuya Kawai, Masayuki Uchida
In this paper, we consider parameter estimation and quasi-likelihood ratio tests for multidimensional jump-diffusion processes defined by stochastic differential equations. In gene…
math.ST2021
Adaptive inference for small diffusion processes based on sampled data
Tetsuya Kawai, Masayuki Uchida
We consider parametric estimation and tests for multi-dimensional diffusion processes with a small dispersion parameter from discrete observations. For parametric est…
math.ST2020
Adaptive testing method for ergodic diffusion processes based on high frequency data
Tetsuya Kawai, Masayuki Uchida
We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters.…