7 citations · 25 across the 21 of their papers we have counts for
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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…