Copertina

Statistical inference in SEM for diffusion processes with jumps based on high-frequency data

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Kusano, Shogo, Uchida, Masayuki
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Statistics Theory
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

QBIC of SEM for jump-diffusion processes based on high-frequency data
di: Kusano, Shogo, et al.
Pubblicazione: (2026)

Akaike-type information criterion of SEM for jump-diffusion processes based on high-frequency data
di: Kusano, Shogo, et al.
Pubblicazione: (2025)

QBIC of SEM for diffusion processes from discrete observations
di: Kusano, Shogo, et al.
Pubblicazione: (2024)

Quasi-Akaike information criterion of structural equation modeling with latent variables for diffusion processes
di: Kusano, Shogo, et al.
Pubblicazione: (2024)

Quasi-likelihood ratio test for jump-diffusion processes based on adaptive maximum likelihood inference
di: Nishikawa, Hiromasa, et al.
Pubblicazione: (2025)

Prediction-based inference for integrated diffusions with high-frequency data
di: Jørgensen, Emil S., et al.
Pubblicazione: (2026)

Predictive information criterion for jump diffusion processes
di: Uehara, Yuma
Pubblicazione: (2025)

Small diffusivity asymptotics for a linear parabolic SPDE in two space dimensions
di: Tonaki, Yozo, et al.
Pubblicazione: (2024)

Estimation for the damping factor of the driving process of an SPDE in two space dimensions
di: Tonaki, Yozo, et al.
Pubblicazione: (2024)

Sparse estimation for the drift of high-dimensional Ornstein--Uhlenbeck processes with i.i.d. paths
di: Nakakita, Shogo
Pubblicazione: (2025)

Statistical inference for highly correlated stationary point processes and noisy bivariate Neyman-Scott processes
di: Shiotani, Takaaki, et al.
Pubblicazione: (2024)

Deep learning of point processes for modeling high-frequency data
di: Gyotoku, Yoshihiro, et al.
Pubblicazione: (2025)

Nonparametric inference for spot volatility in pure-jump semimartingales
di: Yan, Chengxin, et al.
Pubblicazione: (2026)

Statistical inference for multi-regime threshold Ornstein-Uhlenbeck processes
di: Han, Yuecai, et al.
Pubblicazione: (2024)

Quasi-likelihood inference for SDE with mixed-effects observed at high frequency
di: Delattre, Maud, et al.
Pubblicazione: (2025)

Statistical inference for high-dimensional spectral density matrix
di: Chang, Jinyuan, et al.
Pubblicazione: (2022)

Volatility change point detection for linear parabolic SPDEs
di: Tonaki, Yozo, et al.
Pubblicazione: (2025)

Estimation for linear parabolic SPDEs in two space dimensions with unknown damping parameters
di: Tonaki, Yozo, et al.
Pubblicazione: (2025)

Small dispersion asymptotics for an SPDE in two space dimensions using triple increments
di: Tonaki, Yozo, et al.
Pubblicazione: (2024)

Consistent inference for diffusions from low frequency measurements
di: Nickl, Richard
Pubblicazione: (2022)

On low frequency inference for diffusions without the hot spots conjecture
di: Alberti, Giovanni S., et al.
Pubblicazione: (2024)

Hawkes process with a diffusion-driven baseline: long-run behavior, inference, statistical tests
di: Perrin, Maya Sadeler, et al.
Pubblicazione: (2025)

Statistical inference for rough volatility: Minimax Theory
di: Chong, Carsten, et al.
Pubblicazione: (2022)

Efficient estimation for ergodic diffusion processes sampled at high frequency
di: Sørensen, Michael
Pubblicazione: (2024)

Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
di: Bibinger, Markus, et al.
Pubblicazione: (2023)

Efficient estimation of stable Levy process with symmetric jumps
di: Brouste, Alexandre, et al.
Pubblicazione: (2018)

Statistical inference on kurtosis of elliptical distributions
di: Zhou, Bowen, et al.
Pubblicazione: (2024)

The Normal-Generalised Gamma-Pareto process: A novel pure-jump Lévy process with flexible tail and jump-activity properties
di: Ayed, Fadhel, et al.
Pubblicazione: (2020)

Nonparametric density estimation for the small jumps of Lévy processes
di: Duval, Céline, et al.
Pubblicazione: (2024)

Local estimation of transition rates of jump processes through discretization
di: Bladt, Martin, et al.
Pubblicazione: (2026)

Local asymptotic normality for mixed fractional Ornstein-Uhlenbeck process under high-frequency observation
di: Cai, Chunhao, et al.
Pubblicazione: (2026)

Bayesian inference in high-dimensional models
di: Banerjee, Sayantan, et al.
Pubblicazione: (2021)

Fractional Brownian markets with time-varying volatility and high-frequency data
di: Lahiri, Ananya, et al.
Pubblicazione: (2017)

Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
di: Chang, Jinyuan, et al.
Pubblicazione: (2018)

Estimation of a pure-jump stable Cox-Ingersoll-Ross process
di: Bayraktar, Elise, et al.
Pubblicazione: (2023)

Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
di: Amorino, Chiara, et al.
Pubblicazione: (2024)

New Berry-Esseen bounds for parameter estimation of Gaussian processes observed at high frequency
di: Es-Sebaiy, Khalifa, et al.
Pubblicazione: (2026)

Statistical inference for pairwise comparison models
di: Han, Ruijian, et al.
Pubblicazione: (2024)

Asymptotic inference for skewed stable Ornstein-Uhlenbeck process
di: Kawamo, Eitaro, et al.
Pubblicazione: (2026)

Statistical inference of random graphs with a surrogate likelihood function
di: Wu, Dingbo, et al.
Pubblicazione: (2022)