Noise inference for ergodic Lévy driven SDE

DOI10.1214/22-EJS2006zbMath1493.62118arXiv2111.02049WikidataQ114060443 ScholiaQ114060443MaRDI QIDQ2137798

Lorenzo Mercuri, Yuma Uehara, Hiroki Masuda

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.02049

zbMATH Keywords

Gaussian quasi-likelihood functionnoise inferenceSDE driven by a Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Software, source code, etc. for problems pertaining to statistics (62-04)

Uses Software

• R
• ghyp
• YUIMA
• VarianceGamma

Cites Work

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• Estimation of an Ergodic Diffusion from Discrete Observations
• Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
• Martingale Representation of Functionals of Lévy Processes
• Some Integral Inequalities with Applications to the Imbedding of Sobolev Spaces Defined Over Irregular Domains

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