7 citations · 25 across the 21 of their papers we have counts for
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math.ST2020
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.…
math.ST2020★ 1 cited
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…
math.ST2020★ 2 cited
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-…