2 papers
math.ST2026
On lead-lag estimation of non-synchronously observed point processes
Takaaki Shiotani, Takaki Hayashi, Yuta Koike
This paper introduces a new theoretical framework for analyzing lead-lag relationships between point processes, with a special focus on applications to high-frequency financial dat…
math.ST2026
Statistical inference for highly correlated stationary point processes and noisy bivariate Neyman-Scott processes
Takaaki Shiotani, Nakahiro Yoshida
Motivated by estimating the lead-lag relationships in high-frequency financial data, we propose noisy bivariate Neyman-Scott point processes with gamma kernels (NBNSP-G). NBNSP-G t…