54 citations · 115 across the 22 of their papers we have counts for
4 papers · 1 filter
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…
Efficient estimation of stable Levy process with symmetric jumps
Alexandre Brouste, Hiroki Masuda
Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymp…
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…
Data driven time scale in Gaussian quasi-likelihood inference
Shoichi Eguchi, Hiroki Masuda
We study parametric estimation of ergodic diffusions observed at high frequency. Different from the previous studies, we suppose that sampling stepsize is unknown, thereby making t…