54 citations · 115 across the 22 of their papers we have counts for
13 papers · 1 filter
Quasi-Likelihood Analysis for Student-Lévy Regression
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. The model is observ…
On local likelihood asymptotics for Gaussian mixed-effects model with system noise
Takumi Imamura, Hiroki Masuda, Hayato Tajima
The Gaussian mixed-effects model driven by a stationary integrated Ornstein-Uhlenbeck process has been used for analyzing longitudinal data having an explicit and simple serial-cor…
Mixed-effects location-scale model based on generalized hyperbolic distribution
Yuki Fujinaga, Hiroki Masuda
Motivated by better modeling of intra-individual variability in longitudinal data, we propose a class of location-scale mixed effects models, in which the data of each individual i…
Gaussian quasi-information criteria for ergodic Lévy driven SDE
Shoichi Eguchi, Hiroki Masuda
We consider relative model comparison for the parametric coefficients of a semiparametric ergodic Lévy driven model observed at high-frequency. Our asymptotics is based on the full…
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…
Efficient estimation of stable Levy process with symmetric jumps
Alexandre Brouste, Hiroki Masuda
Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymp…
Data driven time scale in Gaussian quasi-likelihood inference
Shoichi Eguchi, Hiroki Masuda
We study parametric estimation of ergodic diffusions observed at high frequency. Different from the previous studies, we suppose that sampling stepsize is unknown, thereby making t…
Bayesian inference for Stable Levy driven Stochastic Differential Equations with high-frequency data
Ajay Jasra, Kengo Kamatani, Hiroki Masuda
In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency…
Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
Hiroki Masuda
We address estimation of parametric coefficients of a pure-jump Lévy driven univariate stochastic differential equation (SDE) model, which is observed at high frequency over a fixe…
Schwarz type model comparison for LAQ models
Shoichi Eguchi, Hiroki Masuda
For model-specification purpose, we study asymptotic behavior of the marginal quasi-log likelihood associated with a family of locally asymptotically quadratic (LAQ) statistical ex…
Two-step estimation of ergodic Lévy driven SDE
Hiroki Masuda, Yuma Uehara
We consider high frequency samples from ergodic Lévy driven stochastic differential equation (SDE) with drift coefficient and scale coefficient involving unknown…
Parametric estimation of Lévy processes
Hiroki Masuda
The main purpose of this chapter is to present some theoretical aspects of parametric estimation of Lévy processes based on high-frequency sampling, with a focus on infinite activi…
Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
Hiroki Masuda
This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a Lévy driven stoc…