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stat.ME2018
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…
stat.ME2018
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…
stat.ME2016
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…