7 citations · 25 across the 21 of their papers we have counts for
Showing 2021 · math.STShow all
3 papers · 2 filters
math.ST2021
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…
math.ST2021
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…
math.ST2021
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…