1 citations · 1 across the 4 of their papers we have counts for
4 papers
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,…
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…
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…