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Tonaki Y, Uchida M. Change point inference in ergodic diffusion processes based on high frequency data. Stoch Process Their Appl 2022. [DOI: 10.1016/j.spa.2022.12.011] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 12/28/2022]
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Tonaki Y, Kaino Y, Uchida M. Estimation for change point of discretely observed ergodic diffusion processes. Scand Stat Theory Appl 2022. [DOI: 10.1111/sjos.12567] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/24/2022]
Affiliation(s)
- Yozo Tonaki
- Graduate School of Engineering Science, Osaka University, 1‐3, Machikaneyama, Toyonaka Osaka Japan
| | - Yusuke Kaino
- Graduate School of Maritime Sciences, Kobe University, 5‐1‐1, Fukaeminami‐machi, Higashinada‐ku Kobe Japan
| | - Masayuki Uchida
- Graduate School of Engineering Science, and Center for Mathematical Modeling and Date Science, Osaka University, 1‐3, Machikaneyama, Toyonaka, Osaka, 560‐8531, Japan; Center for Mathematical Modeling and Data Science (MMDS), Osaka University Toyanaka Japan
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Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2021. [DOI: 10.1007/s11203-021-09249-1] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
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Adaptive estimator for a parabolic linear SPDE with a small noise. JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE 2021. [DOI: 10.1007/s42081-021-00112-4] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/21/2022]
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Kaino Y, Uchida M. Parametric estimation for a parabolic linear SPDE model based on discrete observations. J Stat Plan Inference 2021. [DOI: 10.1016/j.jspi.2020.05.004] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/24/2022]
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Nakakita SH, Kaino Y, Uchida M. Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise. ANN I STAT MATH 2020. [DOI: 10.1007/s10463-020-00746-3] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
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Kaino Y, Nakakita SH, Uchida M. Hybrid estimation for ergodic diffusion processes based on noisy discrete observations. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2019. [DOI: 10.1007/s11203-019-09203-2] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/26/2022]
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