5 papers
Robustified Gaussian quasi-likelihood inference for volatility
Shoichi Eguchi, Hiroki Masuda
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps…
Asymptotic inference for skewed stable Ornstein-Uhlenbeck process
Eitaro Kawamo, Hiroki Masuda
We consider the parametric estimation of the Ornstein-Uhlenbeck process driven by a non-Gaussian -stable Lévy process with the stable index and possibly skewed jumps, b…
Clustering-based aggregate value regression
Kei Hirose, Hidetoshi Matsui, Hiroki Masuda
In various practical situations, forecasting of aggregate values rather than individual ones is often our main focus. For instance, electricity companies are interested in forecast…
On estimation of skewed stable linear regression
Eitaro Kawamo, Hiroki Masuda
We study the parameter estimation method for linear regression models with possibly skewed stable distributed errors. Our estimation procedure consists of two stages: first, for th…
Adaptive Ridge Approach to Heteroscedastic Regression
Ka Long Keith Ho, Hiroki Masuda
We propose an adaptive ridge (AR) estimation scheme for a heteroscedastic linear regression model with log-linear noise in data. We simultaneously estimate the mean and variance pa…