1 citations · 1 across the 8 of their papers we have counts for
8 papers
Nonparametric Inference for Semigroup Blocks of Switching Diffusions
Yuzhong Cheng
Regime-conditioned transition probabilities and moments are basic inputs for prediction and decision making in hybrid systems, but their short-time infinitesimal structure is not d…
Ergodicity and High-Frequency Inference for Hybrid Switching Lévy-Driven Stochastic Differential Equations
Yuzhong Cheng
Hybrid switching Lévy-driven stochastic differential equations with pure-jump noise and state-dependent switching rates are studied under high-frequency observation. A three-stage…
Debiased parametric inference for regime-switching jump diffusions with infinite variation jumps
Yuzhong Cheng
We study high-frequency inference for an ergodic regime-switching jump diffusion with locally stable infinite-variation jumps. The state and the finite-state regime are observed on…
Quasi-likelihood-based EM algorithm for regime-switching SDE
Yuzhong Cheng, Hiroki Masuda
This paper considers estimating the parameters in a regime-switching stochastic differential equation(SDE) driven by Normal Inverse Gaussian(NIG) noise. The model under considerati…
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…
Deep learning-based method for weather forecasting: A case study in Itoshima
Yuzhong Cheng, Linh Thi Hoai Nguyen, Akinori Ozaki +1
Accurate weather forecasting is of paramount importance for a wide range of practical applications, drawing substantial scientific and societal interest. However, the intricacies o…
Efficient CNN-LSTM based Parameter Estimation of Levy Driven Stochastic Differential Equations
Shuaiyu Li, Yang Ruan, Changzhou Long +1
This study addresses the challenges in parameter estimation of stochastic differential equations driven by non-Gaussian noises, which are critical in understanding dynamic phenomen…
Estimation of ergodic square-root diffusion under high-frequency sampling
Yuzhong Cheng, Nicole Hufnagel, Hiroki Masuda
Gaussian quasi-likelihood estimation of the parameter in the square-root diffusion process is studied under high frequency sampling. Different from the previous study of Overbe…