54 citations · 115 across the 22 of their papers we have counts for
5 papers · 1 filter
Noise Inference For Ergodic Lévy Driven SDE
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We study inference for the driving Lévy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the…
Robust relative error estimation
Kei Hirose, Hiroki Masuda
Relative error estimation has been recently used in regression analysis. A crucial issue of the existing relative error estimation procedures is that they are sensitive to outliers…
Estimating Diffusion With Compound Poisson Jumps Based On Self-normalized Residuals
Hiroki Masuda, Yuma Uehara
We consider parametric estimation of the continuous part of a class of ergodic diffusions with jumps based on high-frequency samples. Various papers previously proposed threshold b…
On the Consistency of the Bias Correction Term of the AIC for the Non-Concave Penalized Likelihood Method
Yuta Umezu, Yoshiyuki Ninomiya
Penalized likelihood methods with an -type penalty, such as the Bridge, the SCAD, and the MCP, allow us to estimate a parameter and to do variable selection, simultaneously…
AIC for Non-concave Penalized Likelihood Method
Yuta Umezu, Yusuke Shimizu, Hiroki Masuda +1
Non-concave penalized maximum likelihood methods, such as the Bridge, the SCAD, and the MCP, are widely used because they not only do parameter estimation and variable selection si…