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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

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Showing 2018 · math.STShow all

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math.ST2018★ 18 cited

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…

math.ST2018★ 1 cited

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…