13 citations · 13 across the 2 of their papers we have counts for
5 papers · 1 filter
Efficient drift parameter estimation for ergodic solutions of backward SDEs
Teppei Ogihara, Mitja Stadje
We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an und…
Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes
Teppei Ogihara, Yuma Uehara
We study sufficient conditions for local asymptotic mixed normality. We weaken the sufficient conditions in Theorem 1 of Jeganathan (Sankhya Ser. A 1982) so that they can be applie…
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…
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…
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…