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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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Showing 2015Show all

2 papers · 1 filter

stat.ME2015★ 7 cited

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…

math.ST2015

Two-step estimation of ergodic Lévy driven SDE

Hiroki Masuda, Yuma Uehara

We consider high frequency samples from ergodic Lévy driven stochastic differential equation (SDE) with drift coefficient and scale coefficient involving unknown…