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Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 7 (2004) 1, pp. 35-67

Persistent link: https://www.econbiz.de/10005391504

Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 17 (2014) 2, pp. 181-219

We consider adaptive Bayesian estimation of both drift and diffusion coefficient parameters for ergodic multidimensional diffusion processes based on sampled data. Under a general condition on the discretization step of the sampled data, three kinds of adaptive Bayes type estimators are proposed...

Persistent link: https://www.econbiz.de/10010992903

Asymptotic Expansion for Small Diffusions Applied to Option Pricing

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 7 (2004) 3, pp. 189-223

Persistent link: https://www.econbiz.de/10005184579

AIC type statistics for discretely observed ergodic diffusion processes

Fujii, Takayuki; Uchida, Masayuki - In: Statistical Inference for Stochastic Processes 17 (2014) 3, pp. 267-282

We consider the model selection problem for ergodic diffusion processes based on sampled data. The adaptive estimators for parameters of drift and diffusion coefficients are used in order to construct Akaike’s information criterion (AIC) type model selection statistics. Asymptotic properties...

Persistent link: https://www.econbiz.de/10010949407

Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations

Shimizu, Yasutaka; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 9 (2006) 3, pp. 227-277

Persistent link: https://www.econbiz.de/10005615999

Asymptotic Expansion of M ‐Estimator Over Wiener Space

Sakamoto, Yuji; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 1 (1998) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10005616057

An Asymptotic Expansion Scheme for Optimal Investment Problems

Takahashi, Akihiko; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 153-188

Persistent link: https://www.econbiz.de/10005184578