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math.ST2026
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, base…
math.ST2025
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…