7 citations · 25 across the 21 of their papers we have counts for
21 papers
Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation
Shogo Kusano, Masayuki Uchida
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. The quasi-likelihood estimators for parameters in the SEM…
Parametric estimation for linear parabolic SPDEs in two space dimensions based on temporal and spatial increments
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We deal with parameter estimation for a linear parabolic second-order stochastic partial differential equation in two space dimensions driven by two types of -Wiener processes b…
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…
Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We study parameter estimation for a linear parabolic second-order stochastic partial differential equation (SPDE) in two space dimensions with a small dispersion parameter using hi…
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…
Adaptive inference for small diffusion processes based on sampled data
Tetsuya Kawai, Masayuki Uchida
We consider parametric estimation and tests for multi-dimensional diffusion processes with a small dispersion parameter from discrete observations. For parametric est…
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.…
Adaptive estimator for a parabolic linear SPDE with a small noise
Yusuke Kaino, Masayuki Uchida
We deal with parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) with a small dispersion parameter based on high frequency dat…
Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-…
Parametric estimation for a parabolic linear SPDE model based on sampled data
Yusuke Kaino, Masayuki Uchida
We consider parametric estimation for a parabolic linear second order stochastic partial differential equation (SPDE) from high frequency data which are observed in time and space.…
Parametric estimation for convolutionally observed diffusion processes
Shogo H Nakakita, Masayuki Uchida
We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusi…
Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
Yusuke Kaino, Shogo H. Nakakita, Masayuki Uchida
We consider parametric estimation for ergodic diffusion processes with noisy sampled data based on the hybrid method, that is, the multi-step estimation with the initial Bayes type…
Quasi-likelihood analysis of an ergodic diffusion plus noise
Shogo H. Nakakita, Masayuki Uchida
We consider adaptive maximum-likelihood-type estimators and adaptive Bayes-type ones for discretely observed ergodic diffusion processes with observation noise whose variance is co…
Inference for ergodic diffusions plus noise
Shogo H. Nakakita, Masayuki Uchida
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic in…
Adaptive test for ergodic diffusions plus noise
Shogo H. Nakakita, Masayuki Uchida
We propose some parametric tests for ergodic diffusion-plus-noise model, which is a version of state-space modelling in statistics for stochastic diffusion equations. The test stat…
Adaptive estimation and noise detection for an ergodic diffusion with observation noises
Shogo H. Nakakita, Masayuki Uchida
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic in…
Nondegeneracy of Random Field and Estimation of Diffusion
Masayuki Uchida, Nakahiro Yoshida
We construct a quasi likelihood analysis for diffusions under the high-frequency sampling over a finite time interval. For this, we prove a polynomial type large deviation inequali…
Parametric estimation for partially hidden diffusion processes sampled at discrete times
Stefano Iacus, Masayuki Uchida, Nakahiro Yoshida
For a one dimensional diffusion process , we suppose that is hidden if it is below some fixed and known threshold , but otherwise it is visi…