13 citations · 13 across the 2 of their papers we have counts for
3 papers
math.ST2020
Malliavin calculus techniques for local asymptotic mixed normality and their application to degenerate diffusions
Masaaki Fukasawa, Teppei Ogihara
We study sufficient conditions for a local asymptotic mixed normality property of statistical models. We develop a scheme with the regularity condition proposed by Jeganathan…
math.ST2019
Misspecified diffusion models with high-frequency observations and an application to neural networks
Teppei Ogihara
We study the asymptotic theory of misspecified models for diffusion processes with noisy nonsynchronous observations. Unlike with correctly specified models, the original maximum-l…
math.ST2012★ 13 cited
Quasi-Likelihood Analysis for Stochastic Regression Models with Nonsynchronous Observations
Teppei Ogihara, Nakahiro Yoshida
We consider nonsynchronous sampling of parameterized stochastic regression models, which contain stochastic differential equations. Constructing a quasi-likelihood function, we pro…