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04/09/2023
Asymptotic expansion for batched bandits
In bandit algorithms, the randomly time-varying adaptive experimental de...
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01/22/2023
Penalized estimation for non-identifiable models
We derive asymptotic properties of penalized estimators for singular mod...
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11/25/2022
Quasi-maximum likelihood estimation and penalized estimation under non-standard conditions
The purpose of this article is to develop a general parametric estimatio...
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09/07/2022
Asymptotic expansion of an estimator for the Hurst coefficient
Asymptotic expansion is presented for an estimator of the Hurst coeffici...
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06/01/2022
Order estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation
We derive an asymptotic expansion for the quadratic variation of a stoch...
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02/24/2021
Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
The asymptotic decision theory by Le Cam and Hajek has been given a luci...
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02/10/2021
Global jump filters and realized volatility
For a semimartingale with jumps, we propose a new estimation method for ...
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02/02/2021
Divergence of an integral of a process with small ball estimate
The paper contains sufficient conditions on the function f and the stoch...
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12/31/2020
Asymptotic expansion of a variation with anticipative weights
Asymptotic expansion of a variation with anticipative weights is derived...
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02/24/2020
Adaptive and non-adaptive estimation for degenerate diffusion processes
We discuss parametric estimation of a degenerate diffusion system from t...
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01/28/2020
Rate of Estimation for the Stationary Distribution of Stochastic Damping Hamiltonian Systems with Continuous Observations
We study the problem of the non-parametric estimation for the density π ...
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10/28/2019
Penalized quasi likelihood estimation for variable selection
Penalized methods are applied to quasi likelihood analysis for stochasti...
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11/22/2018
Penalized least squares approximation methods and their applications to stochastic processes
We construct an objective function that consists of a quadratic approxim...
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06/27/2018
Global jump filters and quasi likelihood analysis for volatility
We propose a new estimation scheme for estimation of the volatility para...
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12/31/2017
