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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.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.ST2024
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…