Hiroki Masuda

activity

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

collaborators

Showing 2014Show all

2 papers · 1 filter

math.PR2014★ 8 cited

Uniform LAN property of locally stable Lévy process observed at high frequency

Dmytro Ivanenko, Alexey M. Kulik, Hiroki Masuda

Suppose we have a high-frequency sample from the Lévy process of the form $X_{t}^{θ} = β t + γ Z_{t} + U_{t}$ , where $Z$ is a possibly asymmetric locally $α$ -stable Lévy process, and $U$ is a nuis…

math.ST2014★ 5 cited

Parametric estimation of Lévy processes

Hiroki Masuda

The main purpose of this chapter is to present some theoretical aspects of parametric estimation of Lévy processes based on high-frequency sampling, with a focus on infinite activi…