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math.ST2023
Quasi-Likelihood Analysis for Student-Lévy Regression
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. The model is observ…
math.ST2023
On local likelihood asymptotics for Gaussian mixed-effects model with system noise
Takumi Imamura, Hiroki Masuda, Hayato Tajima
The Gaussian mixed-effects model driven by a stationary integrated Ornstein-Uhlenbeck process has been used for analyzing longitudinal data having an explicit and simple serial-cor…