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math.ST2025
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…
math.ST2025
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…
math.ST2024
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…