1
|
Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models. ANN I STAT MATH 2022. [DOI: 10.1007/s10463-022-00854-2] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/12/2022]
|
2
|
Morales-Navarrete D, Bevilacqua M, Caamaño-Carrillo C, Castro LM. Modelling Point Referenced Spatial Count Data: A Poisson Process Approach. J Am Stat Assoc 2022. [DOI: 10.1080/01621459.2022.2140053] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/31/2022]
Affiliation(s)
- Diego Morales-Navarrete
- Departamento de Estadística, Pontificia Universidad Católica de Chile, Santiago, Chile
- Millennium Nucleus Center for the Discovery of Structures in Complex Data, Chile
| | - Moreno Bevilacqua
- Facultad de Ingeniería y Ciencias, Universidad Adolfo Ibáñez, Viña del Mar, Chile
- Dipartimento di Scienze Ambientali, Informatica e Statistica, Ca’ Foscari University of Venice, Italy
| | | | - Luis M. Castro
- Departamento de Estadística, Pontificia Universidad Católica de Chile, Santiago, Chile
- Millennium Nucleus Center for the Discovery of Structures in Complex Data, Chile
- Centro de Riesgos y Seguros UC, Pontificia Universidad Católica de Chile, Santiago, Chile
| |
Collapse
|
3
|
Quasi-likelihood analysis and its applications. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2022. [DOI: 10.1007/s11203-021-09266-0] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/19/2022]
Abstract
AbstractThe Ibragimov–Khasminskii theory established a scheme that gives asymptotic properties of the likelihood estimators through the convergence of the likelihood ratio random field. This scheme is extending to various nonlinear stochastic processes, combined with a polynomial type large deviation inequality proved for a general locally asymptotically quadratic quasi-likelihood random field. We give an overview of the quasi-likelihood analysis and its applications to ergodic/non-ergodic statistics for stochastic processes.
Collapse
|
4
|
Masuda H, Mercuri L, Uehara Y. Noise inference for ergodic Lévy driven SDE. Electron J Stat 2022. [DOI: 10.1214/22-ejs2006] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Hiroki Masuda
- Department of Mathematical Sciences, Faculty of Mathematics, Kyushu University
| | - Lorenzo Mercuri
- Department of Economics, Management and Quantitative Methods, University of Milan
| | - Yuma Uehara
- Department of Mathematics, Faculty of Engineering Science, Kansai University
| |
Collapse
|
5
|
Masuda H, Uehara Y. Estimating diffusion with compound Poisson jumps based on self-normalized residuals. J Stat Plan Inference 2021. [DOI: 10.1016/j.jspi.2021.02.008] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
|
6
|
Bianchi F, Mercuri L, Rroji E. Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach. FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT 2021; 36:57-85. [PMID: 34765079 PMCID: PMC8011053 DOI: 10.1007/s11408-021-00387-3] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Grants] [Track Full Text] [Figures] [Subscribe] [Scholar Register] [Accepted: 02/24/2021] [Indexed: 06/13/2023]
Abstract
In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market prices in a context where the time grid of price quotations differs across assets. We present an empirical analysis of the proposed approach using two high-frequency datasets that provides better out-of-sample results than competing portfolio strategies except for the case of severe market conditions with frequent rebalancements.
Collapse
Affiliation(s)
- Francesco Bianchi
- Independent, Durham, Italy
- University of Milan, Milan, Italy
- CREST Japan Science and Technology Agency, Tokyo, Japan
| | - Lorenzo Mercuri
- University of Milan, Milan, Italy
- CREST Japan Science and Technology Agency, Tokyo, Japan
| | - Edit Rroji
- University of Milano-Bicocca, Milan, Italy
| |
Collapse
|
7
|
Affiliation(s)
- Arnaud Gloter
- Université Paris-Saclay, CNRS, Univ Evry, Laboratoire de Mathématiques et Modélisation d’Evry, 91037, Evry-Courcouronnes, France
| | - Nakahiro Yoshida
- Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan https://www.ms.u-tokyo.ac.jp/~nakahiro/hp-naka-e
| |
Collapse
|
8
|
Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2020. [DOI: 10.1007/s11203-020-09227-z] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/23/2022]
|
9
|
Eguchi S, Uehara Y. Schwartz‐type model selection for ergodic stochastic differential equation models. Scand Stat Theory Appl 2020. [DOI: 10.1111/sjos.12474] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
Affiliation(s)
- Shoichi Eguchi
- Center for Mathematical Modeling and Data Science Osaka University
| | - Yuma Uehara
- Department of Mathematics, Faculty of Engineering Science Kansai University
| |
Collapse
|
10
|
Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2020. [DOI: 10.1007/s11203-020-09210-8] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/24/2022]
Abstract
AbstractWe consider the problem of estimation of the drift parameter of an ergodic Ornstein–Uhlenbeck type process driven by a Lévy process with heavy tails. The process is observed continuously on a long time interval [0, T], $$T\rightarrow \infty $$
T
→
∞
. We prove that the statistical model is locally asymptotic mixed normal and the maximum likelihood estimator is asymptotically efficient.
Collapse
|
11
|
Amorino C, Gloter A. Contrast function estimation for the drift parameter of ergodic jump diffusion process. Scand Stat Theory Appl 2020. [DOI: 10.1111/sjos.12406] [Citation(s) in RCA: 7] [Impact Index Per Article: 1.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
Affiliation(s)
- Chiara Amorino
- Laboratoire de Mathématiques et Modélisation d'EvryUniversité d'Evry Val d'Essonne Evry Cedex France
| | - Arnaud Gloter
- Laboratoire de Mathématiques et Modélisation d'EvryUniversité d'Evry Val d'Essonne Evry Cedex France
| |
Collapse
|
12
|
Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models. Stoch Process Their Appl 2019. [DOI: 10.1016/j.spa.2018.11.007] [Citation(s) in RCA: 7] [Impact Index Per Article: 1.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/22/2022]
|
13
|
|
14
|
Data driven time scale in Gaussian quasi-likelihood inference. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2019. [DOI: 10.1007/s11203-019-09197-x] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
|
15
|
Masuda H. Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process. Stoch Process Their Appl 2019. [DOI: 10.1016/j.spa.2018.04.004] [Citation(s) in RCA: 10] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/15/2022]
|
16
|
Jasra A, Kamatani K, Masuda H. Bayesian inference for stable Lévy–driven stochastic differential equations with high‐frequency data. Scand Stat Theory Appl 2018. [DOI: 10.1111/sjos.12362] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
Affiliation(s)
- Ajay Jasra
- Department of Statistics and Applied Probability National University of Singapore Singapore
| | - Kengo Kamatani
- Department of Engineering Science Osaka University Toyonaka Japan
| | - Hiroki Masuda
- Faculty of Mathematics Kyushu University Fukuoka Japan
| |
Collapse
|
17
|
|
18
|
Gloter A, Loukianova D, Mai H. Jump filtering and efficient drift estimation for Lévy-driven SDEs. Ann Stat 2018. [DOI: 10.1214/17-aos1591] [Citation(s) in RCA: 9] [Impact Index Per Article: 1.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
|
19
|
|
20
|
Kaino Y, Uchida M. Hybrid estimators for stochastic differential equations from reduced data. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2018. [DOI: 10.1007/s11203-018-9184-x] [Citation(s) in RCA: 6] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
|
21
|
Shimizu Y. Threshold Estimation for Stochastic Processes with Small Noise. Scand Stat Theory Appl 2017. [DOI: 10.1111/sjos.12287] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
|
22
|
Affiliation(s)
- Arturo Kohatsu-Higa
- Department of Mathematical Sciences, Ritsumeikan University and Japan Science and Technology Agency, Kusatsu, Japan
| | - Eulalia Nualart
- Department of Economics and Business, Universitat Pompeu Fabra and Barcelona Graduate School of Economics, Barcelona, Spain
| | - Ngoc Khue Tran
- Department of Mathematical Sciences, Ritsumeikan University and Japan Science and Technology Agency, Kusatsu, Japan
| |
Collapse
|
23
|
Two-step estimation of ergodic Lévy driven SDE. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2016. [DOI: 10.1007/s11203-016-9133-5] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/22/2022]
|
24
|
Kamatani K, Uchida M. Hybrid multi-step estimators for stochastic differential equations based on sampled data. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2014. [DOI: 10.1007/s11203-014-9107-4] [Citation(s) in RCA: 28] [Impact Index Per Article: 2.8] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/25/2022]
|
25
|
Masuda H. Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes. Stoch Process Their Appl 2013. [DOI: 10.1016/j.spa.2013.03.013] [Citation(s) in RCA: 7] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/16/2022]
|