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論文
Masuda,H.and Yoshida,N.(2005),Asymptotic expansion for Barndorff-Nielsen and Shephard's
stochastic volatility model.to appear in Stochastic Processes Appl.
Sakamoto,Y.and Yoshida,N.(2004).Asymptotic expansion formulas for functionals of ■Markov
processes with a mixing property.Ann.Inst.Statist.Math.56-3,545-597
Uchida,M.and Yoshida,N.(2004).Information criteria for small diffusions via the theory of
Malliavin-Watanabe,Statist.Infer.Stochast.Process.,7,35-67.
Uchida,M.and Yoshida,N.(2004).Asymptotic expansion for small diffusions applied to option
pricing,Statist.Infer.Stochast.Process.,7,189-223.
Uchida,M.(2004).Minimum contrast estimation for discretely observed diffusion processes with
small dispersion parameter,Bull.Inform.Cybernet.,36,35-49.
学会発表
Masuda,H.On mixing bounds for Markovian stochastic differential equations with jumps,(June 3,
2004;DYNSTOCH STATISTICAL METHODS FOR DYNAMICAL STOCHASTIC MODELS 5th
WORKSHOP,University of Copenhagen,Denmark)
Uchida,M.AIC for ergodic diffusion processes from discrete observations,(January 6,2005;
Asymptotical Statistics of Stochastic Processes V,University of Maine,Le Mans,France)
Masuda,H.Second order double Edgeworth expansion in a filtering model based on discrete data,
(January 7,2005;Asymptotical Statistics of Stochastic Processes V,University of Maine,Le Mans,
France)
プレプリント
Masuda,H.(2004).Exponential beta-mixing bound for Levy-driven stochastic differential
equations.Preprint.
Masuda,H.(2005).Simple estimators for non-linear Markovian trend from sampled data:I.
Ergodic cases.Preprint.Masuda,H.and Yoshida,N.(2005),Edgeworth expansion for a class of Levy-driven
Ornstein-Uhlenbeck-based models.Preprint.
Uchida,M.and Yoshida,N.(2005).AIC for ergodic diffusion processes from discrete observations.In
preparation.
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