Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations
By Yasutaka Shimizu, Nakahiro Yoshida. 2006
145 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Finance, Molecular Biology
View Paper: https://www.semanticscholar.org/paper/2ad0a2ab962f87508646888675ca102342d30cb2
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In Computational Theory and Mathematics
- Hiroki Masuda
- Hongwei Long
- V. Todorov
- Tim Bollerslev
- Yaozhong Hu
- Teppei Ogihara
- Chunhua Ma
- Nakahiro Yoshida
In Finance
- V. Todorov
- Hiroki Masuda
- Hongwei Long
- Tim Bollerslev
- Teppei Ogihara
- Chunhua Ma
- Yaozhong Hu
- Yasutaka Shimizu
In Molecular Biology
- Hiroki Masuda
- Hongwei Long
- V. Todorov
- Tim Bollerslev
- Yaozhong Hu
- Teppei Ogihara
- Chunhua Ma
- Nakahiro Yoshida
Citations in the corpus
- Quasi-likelihood analysis for the stochastic differential equation with jumps (2011, methodology): “Yoshida (Shimizu 2002; Shimizu and Yoshida 2003, 2006 ).”
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013, methodology): “in particular, the optimal rate of convergence in estimating α is √ Tn, achieved by our GQMLE α̂n; for details, see Shimizu and Yoshida [38] and Ogihara and Yoshida [36], as well as the references therein.”
- Ergodicity and exponential β-mixing bounds for multidimensional diffusions with jumps (2007, background): “, Shimizu [26], Shimizu and Yoshida [27], and Yoshida [34], and see also the simulation study of Masuda [18].”
- Estimation of Jump Tails (2011, methodology): “The key idea of using truncation and high-frequency data to separate the jumps from the diffusion component has also previously been used by Shimizu and Yoshida (2006) and Shimizu (2010) in the construction of contrast functions for the estimation of certain Markov jump-diffusion processes.”
- Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “We refer to Sundaresan [38] and Fan [7] for overviews, Barndorff-Nielsen, Mikosch and Resnick [2] for recent developments on Lévy-driven processes, and Sørensen [34], Shimizu and Yoshida [33], Shimizu [30], Ogihara and Yoshida [26] and Masuda [25] for statistical inference.”
- Least squares estimator for Ornstein―Uhlenbeck processes driven by α-stable motions (2009, methodology): “The asymptotic normality of the LSE and MLE for pure jump process is studied in [9,10].”