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math.ST2026
Robustified Gaussian quasi-BIC for volatility
Shoichi Eguchi, Hiroki Masuda
We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the d…
math.ST2026
LAD estimation of locally stable SDE
Oleksii M. Kulyk, Hiroki Masuda
We prove the asymptotic mixed normality of the least absolute deviation (LAD) estimator for a locally -stable stochastic differential equation (SDE) observed at high frequency,…
math.ST2025
Statistical inference for ergodic diffusion with Markovian switching
Yuzhong Cheng, Hiroki Masuda
This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-freque…