4 papers
Drift estimation for rough processes under small noise asymptotic : QMLE approach
Arnaud Gloter, Nakahiro Yoshida
We consider a process $X^\ve$ solution of a stochastic Volterra equation with an unknown parameter in the drift function. The Volterra kernel is singular near zero, exhib…
Deep learning of point processes for modeling high-frequency data
Yoshihiro Gyotoku, Ioane Muni Toke, Nakahiro Yoshida
We investigate applications of deep neural networks to a point process having an intensity with mixing covariates processes as input. Our generic model includes Cox-type models and…
Drift estimation for rough processes under small noise asymptotic : trajectory fitting method
Arnaud Gloter, Nakahiro Yoshida
We consider a process $X^\ve$ that solves a stochastic Volterra equation with an unknown parameter in the drift function. The Volterra kernel is singular, and includes as…
Statistical inference for highly correlated stationary point processes and noisy bivariate Neyman-Scott processes
Takaaki Shiotani, Nakahiro Yoshida
Motivated by estimating the lead-lag relationships in high-frequency financial data, we propose noisy bivariate Neyman-Scott point processes with gamma kernels (NBNSP-G). NBNSP-G t…