Estimation for change point of discretely observed ergodic diffusion processes

Scandinavian Journal of Statistics ◽

10.1111/sjos.12567 ◽

2022 ◽

Author(s):

Yozo Tonaki ◽

Yusuke Kaino ◽

Masayuki Uchida

Keyword(s):

Change Point ◽

Diffusion Processes ◽

Ergodic Diffusion

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Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-005-3248-4 ◽

2006 ◽

Vol 9 (1) ◽

pp. 1-16 ◽

Cited By ~ 8

Author(s):

L. Galtchouk ◽

S. Pergamenshchikov

Keyword(s):

Diffusion Processes ◽

Kernel Estimates ◽

Ergodic Diffusion ◽

Asymptotically Efficient ◽

Drift Coefficient

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Quadratic Type Contrast Functions for Discretely Observed Non-Ergodic Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1344189 ◽

2009 ◽

Cited By ~ 4

Author(s):

Yasutaka Shimizu

Keyword(s):

Diffusion Processes ◽

Ergodic Diffusion

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Estimation for misspecified ergodic diffusion processes from discrete observations

ESAIM Probability and Statistics ◽

10.1051/ps/2010001 ◽

2011 ◽

Vol 15 ◽

pp. 270-290 ◽

Cited By ~ 4

Author(s):

Masayuki Uchida ◽

Nakahiro Yoshida

Keyword(s):

Diffusion Processes ◽

Discrete Observations ◽

Ergodic Diffusion

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Estimation of change point for switching fractional diffusion processes

Stochastics ◽

10.1080/17442508.2013.802791 ◽

2013 ◽

Vol 86 (3) ◽

pp. 429-449 ◽

Cited By ~ 3

Author(s):

M.N. Mishra ◽

B.L.S. Prakasa Rao

Keyword(s):

Change Point ◽

Diffusion Processes ◽

Fractional Diffusion

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Hybrid estimation for ergodic diffusion processes based on noisy discrete observations

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-019-09203-2 ◽

2019 ◽

Vol 23 (1) ◽

pp. 171-198

Author(s):

Yusuke Kaino ◽

Shogo H. Nakakita ◽

Masayuki Uchida

Keyword(s):

Diffusion Processes ◽

Discrete Observations ◽

Hybrid Estimation ◽

Ergodic Diffusion

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Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-014-9095-4 ◽

2014 ◽

Vol 17 (2) ◽

pp. 181-219 ◽

Cited By ~ 18

Author(s):

Masayuki Uchida ◽

Nakahiro Yoshida

Keyword(s):

Diffusion Processes ◽

Discrete Observations ◽

Ergodic Diffusion

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Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

Stochastic Analysis and Applications ◽

10.1080/07362994.2014.917359 ◽

2014 ◽

Vol 32 (4) ◽

pp. 664-686 ◽

Cited By ~ 2

Author(s):

M. N. Mishra ◽

B. L. S. Prakasa Rao

Keyword(s):

Change Point ◽

Diffusion Processes ◽

Fractional Diffusion ◽

Drift Parameter

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Z-process method for change point problems with applications to discretely observed diffusion processes

Statistical Methods & Applications ◽

10.1007/s10260-016-0366-7 ◽

2016 ◽

Vol 26 (2) ◽

pp. 231-250 ◽

Cited By ~ 5

Author(s):

Ilia Negri ◽

Yoichi Nishiyama

Keyword(s):

Change Point ◽

Diffusion Processes ◽

Process Method

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On Parameter Estimation by Contaminated Observations of Ergodic Diffusion Processes

Statistics for Industry and Technology - Parametric and Semiparametric Models with Applications to Reliability, Survival Analysis, and Quality of Life ◽

10.1007/978-0-8176-8206-4_28 ◽

2004 ◽

pp. 461-472

Author(s):

Yu. A. Kutoyants

Keyword(s):

Parameter Estimation ◽

Diffusion Processes ◽

Ergodic Diffusion

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AIC type statistics for discretely observed ergodic diffusion processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-014-9101-x ◽

2014 ◽

Vol 17 (3) ◽

pp. 267-282 ◽

Cited By ~ 4

Author(s):

Takayuki Fujii ◽

Masayuki Uchida

Keyword(s):

Diffusion Processes ◽

Ergodic Diffusion

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