2 papers
math.ST2024
Gaussian quasi-likelihood analysis for non-Gaussian linear mixed-effects model with system noise
Takumi Imamura, Hiroki Masuda
We consider statistical inference for a class of mixed-effects models with system noise described by a non-Gaussian integrated Ornstein-Uhlenbeck process. Under the asymptotics whe…
math.ST2020
Optimal stable Ornstein-Uhlenbeck regression
Hiroki Masuda
We prove some efficient inference results concerning estimation of a Ornstein-Uhlenbeck regression model, which is driven by a non-Gaussian stable Levy process and where the output…