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Quasi-likelihood analysis for the stochastic differential equation with jumps

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  • T. Ogihara
  • N. Yoshida

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  • T. Ogihara & N. Yoshida, 2011. "Quasi-likelihood analysis for the stochastic differential equation with jumps," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 189-229, October.
    • Handle: RePEc:spr:sistpr:v:14:y:2011:i:3:p:189-229
    DOI: 10.1007/s11203-011-9057-z
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    References listed on IDEAS

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    1. Yasutaka Shimizu, 2006. "M-Estimation for Discretely Observed Ergodic Diffusion Processes with Infinitely Many Jumps," Statistical Inference for Stochastic Processes, Springer, vol. 9(2), pages 179-225, July.
    2. Sato, Ken-iti & Yamazato, Makoto, 1984. "Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type," Stochastic Processes and their Applications, Elsevier, vol. 17(1), pages 73-100, May.
    3. Yasutaka Shimizu & Nakahiro Yoshida, 2006. "Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 227-277, October.
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    Citations

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    Cited by:

    1. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
    2. Nakahiro Yoshida, 2022. "Quasi-likelihood analysis and its applications," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 43-60, April.
    3. Yoann Potiron & Per Mykland, 2020. "Local Parametric Estimation in High Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
    4. Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
    5. Uehara, Yuma, 2019. "Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4051-4081.
    6. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
    7. Brockwell, Peter J. & Schlemm, Eckhard, 2013. "Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 217-251.
    8. Masahiro Kurisaki, 2023. "Parameter estimation for ergodic linear SDEs from partial and discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 279-330, July.
    9. De Gregorio, A. & Iacus, S.M., 2013. "On a family of test statistics for discretely observed diffusion processes," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 292-316.
    10. Yasutaka Shimizu, 2017. "Threshold Estimation for Stochastic Processes with Small Noise," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 951-988, December.
    11. Brouste, Alexandre & Fukasawa, Masaaki & Hino, Hideitsu & Iacus, Stefano & Kamatani, Kengo & Koike, Yuta & Masuda, Hiroki & Nomura, Ryosuke & Ogihara, Teppei & Shimuzu, Yasutaka & Uchida, Masayuki & Y, 2014. "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 57(i04).
    12. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
    13. Long, Hongwei & Shimizu, Yasutaka & Sun, Wei, 2013. "Least squares estimators for discretely observed stochastic processes driven by small Lévy noises," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 422-439.
    14. Ogihara, Teppei & Yoshida, Nakahiro, 2014. "Quasi-likelihood analysis for nonsynchronously observed diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2954-3008.
    15. Uchida, Masayuki & Yoshida, Nakahiro, 2013. "Quasi likelihood analysis of volatility and nondegeneracy of statistical random field," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2851-2876.
    16. Hacène Djellout & Hui Jiang, 2018. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Post-Print hal-01147189, HAL.
    17. Hacène Djellout & Hui Jiang, 2018. "Large Deviations of the Threshold Estimator of Integrated (Co-)Volatility Vector in the Presence of Jumps," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1606-1624, September.
    18. Haruhiko Inatsugu & Nakahiro Yoshida, 2021. "Global jump filters and quasi-likelihood analysis for volatility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 555-598, June.
    19. Shogo H. Nakakita & Yusuke Kaino & Masayuki Uchida, 2021. "Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 177-225, February.
    20. Mitsuki Kobayashi & Yasutaka Shimizu, 2023. "Threshold estimation for jump-diffusions under small noise asymptotics," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 361-411, July.
    21. Alessandro DE GREGORIO & Stefano Maria IACUS, 2011. "On a family of test statistics for discretely observed diffusion processes," Departmental Working Papers 2011-37, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    22. Hacène Djellout & Hui Jiang, 2015. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Working Papers hal-01147189, HAL.
    23. Yiying Cheng & Yaozhong Hu & Hongwei Long, 2020. "Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 53-81, April.
    24. Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for stochastic differential equations from reduced data," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 435-454, July.
    25. Masayuki Uchida & Nakahiro Yoshida, 2014. "Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 181-219, July.

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