Hiroki Masuda

activity

20132023

most citedConvergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

54 citations · 115 across the 22 of their papers we have counts for

collaborators

Showing math.PRShow all

2 papers · 1 filter

math.PR2014★ 8 cited

Uniform LAN property of locally stable Lévy process observed at high frequency

Dmytro Ivanenko, Alexey M. Kulik, Hiroki Masuda

Suppose we have a high-frequency sample from the Lévy process of the form $X_{t}^{θ} = β t + γ Z_{t} + U_{t}$ , where $Z$ is a possibly asymmetric locally $α$ -stable Lévy process, and $U$ is a nuis…

math.PR2013

Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process

Hiroki Masuda, Nakahiro Yoshida

We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Pois…