7 papers
Elasticity estimation via the CKLS--CIR transform for small-noise CEV-type diffusions
Boyuan Ning, Yasutaka Shimizu
We construct a feasible two-step estimator for the elasticity parameter in small-noise CEV-type diffusions. Under joint small-noise and high-frequency asymptotics, we establish its…
From CKLS Process to CIR-type Process: Using a Twice-differentiable Mapping and Generalized Girsanov's Theorem
Boyuan Ning, Yasutaka Shimizu
We construct a twice-differentiable mapping satisfying for a given constant and apply it to the CKLS short-rate process…
Estimation of the elasticity for CKLS model from high-frequency observations
Boyuan Ning, Yasutaka Shimizu
We investigate parametric estimation of the elasticity parameter in the CKLS diffusion based on high-frequency data. First, we transform the CKLS diffusion to a CIR-type one via a…
M-estimation for Gaussian processes with time-inhomogeneous drifts from high-frequency data
Yasutaka Shimizu
We propose a contrast-based estimation method for Gaussian processes with time-inhomogeneous drifts, observed under high-frequency sampling. The process is modeled as the sum of a…
Maximum likelihood estimation of mean functions for Gaussian processes under small noise asymptotics
Mitsuki Kobayashi, Yuto Nishiwaki, Yasutaka Shimizu +1
Maximum likelihood estimators for time-dependent mean functions within Gaussian processes are provided in the context of continuous observations. We find the widest possible class…
Adaptive Bayes estimator for stochastic differential equations with jumps under small noise asymptotics
Shuntaro Suzuki, Takaaki Wakamatsu, Yasutaka Shimizu
In this paper, we consider parameter estimation for stochastic differential equations driven by Wiener processes and compound Poisson processes. We assume unknown parameters corres…
Approximation and estimation of scale functions for spectrally negative Levy processes
Haruka Irie, Yasutaka Shimizu
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established th…