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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

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

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

Information Criteria in Model Selection for Mixing Processes

Uchida, Masayuki; Yoshida, Nakahiro - In: Statistical Inference for Stochastic Processes 4 (2001) 1, pp. 73-98

Persistent link: https://www.econbiz.de/10005616040

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

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