7 citations · 20 across the 11 of their papers we have counts for
16 papers
Structural equation modeling with latent variables for diffusion processes based on high-frequency data
Shogo Kusano, Masayuki Uchida
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. We derive the quasi-likelihood estimators for parameters…
Statistical inference in factor analysis for diffusion processes from discrete observations
Shogo Kusano, Masayuki Uchida
We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series da…
Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions driven by two types -Wiener processe…
Change point inference in ergodic diffusion processes based on high frequency data
Yozo Tonaki, Masayuki Uchida
We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffu…
Estimation for change point of discretely observed ergodic diffusion processes
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2020) proposed adaptive tests for detecting changes in the diffusion and…
Adaptive testing method for ergodic diffusion processes based on high frequency data
Tetsuya Kawai, Masayuki Uchida
We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters.…