4 papers
From CKLS Process to CIR-type and OU-type Processes: Using a Twice-differentiable Mapping and Generalized Girsanov's Theorem
Boyuan Ning, Yasutaka Shimizu
We study a twice-differentiable transformation applied to a CKLS-type short-rate model with linear drift and power-type diffusion. The transformation yields a new process whose dif…
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…
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…