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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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math.ST2022

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…

math.ST2022

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…