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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.ST2013★ 54 cited

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…

math.PR2013

Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process

Hiroki Masuda, Nakahiro Yoshida

We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Pois…