M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps

By Yasutaka Shimizu. 2006

50 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/89b0c7ff8bda3955881025d962a1e4f012b1c1ed

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Hiroki Masuda
2. Hongwei Long
3. Teppei Ogihara
4. Chunhua Ma
5. Yasutaka Shimizu
6. Nakahiro Yoshida
7. V. Todorov
8. Yaozhong Hu

In Mathematical Physics

1. Hongwei Long
2. Hiroki Masuda
3. Chunhua Ma
4. Yasutaka Shimizu
5. Nakahiro Yoshida
6. Teppei Ogihara
7. V. Todorov
8. Jian Wang

In Statistics and Probability

1. Hiroki Masuda
2. Hongwei Long
3. Teppei Ogihara
4. Chunhua Ma
5. Nakahiro Yoshida
6. Yasutaka Shimizu
7. Markus Bibinger
8. Takaki Hayashi

Citations in the corpus

• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (2013, background): “, β2), which makes it possible to extract information of the diffusion and jump parts separately, in compensation for a nontrivial fine tuning of the threshold; see Shimizu and Yoshida [38] and Ogihara and Yoshida [36] in case of compound-Poisson jumps and Shimizu [37] in the presence of infinitely ”
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (2009, methodology): “The driving jump processes considered in Shimizu and Yoshida (2006) and Shimizu (2006) include a large class of Lévy processes such as compound Poisson processes, gamma, inverse Gaussian, variance gamma, normal inverse Gaussian or some generalized tempered stable processes.”
• Quasi-likelihood analysis for the stochastic differential equation with jumps (2011, methodology): “Remark 2 [H5] is a little weaker condition than the corresponding condition in Shimizu and Yoshida (2006). However, by reading the proof of the corresponding lemma in Shimizu and Yoshida (2006) carefully, we can verify that [H5] is a sufficient condition to prove Lemma 1.”
• Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “Department of Mathematical Sciences, Florida Atlantic University, Boca Raton, Florida, USAhlong@fau.edu Chunhua Ma School of Mathematical Sciences and LPMC, Nankai University, Tianjin, Chinamach@nankai.edu.cn Yasutaka Shimizu Department of Applied Mathematics, Waseda University, Tokyo, Japan-shimizu”