論文の公開元へ
関連論文
-
時間不均質なオーンシュタイン・ウーレンベック過程の推定
-
Simulation study on parametric dependence of whistler-mode hiss generation in the plasmasphere
-
表紙・目次
-
General remarks on the propagation of chaos in wave turbulence and application to the incompressible Euler dynamics (Nonlinear and Random Waves)
-
Scaling laws for turbulent relative dispersion in two-dimensional energy inverse-cascade turbulence
参考文献
[1] R. A. Adams. Some integral inequalities with applications to the imbedding
of Sobolev spaces defined over irregular domains. Trans. Amer. Math. Soc.,
178:401–429, 1973. MR0322494
[2] A. Brouste, M. Fukasawa, H. Hino, S. M. Iacus, K. Kamatani, Y. Koike,
H. Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida, and
N. Yoshida. The yuima project: A computational framework for simulation and inference of stochastic differential equations. Journal of Statistical
Software, 57(4):1–51, 2014.
[3] V. Genon-Catalot and J. Jacod. On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Ann. Inst. H. Poincar´e
Probab. Statist., 29(1):119–151, 1993. MR1204521
[4] S. M. Iacus and L. Mercuri. Implementation of l´evy carma model in yuima
package. Comp. Stat., 30(4):1111–1141, 2015. MR3433445
[5] S. M. Iacus, L. Mercuri, and E. Rroji. Cogarch (p, q): Simulation and
inference with the yuima package. J. Stat. Softw., 80(1):1–49, 2017.
[6] S. M. Iacus, L. Mercuri, and E. Rroji. Discrete-time approximation of a
cogarch (p, q) model and its estimation. J. Time Ser. Anal., 39(5):787–
809, 2018. MR3849527
[7] S. M. Iacus and N. Yoshida. Simulation and inference for stochastic processes with yuima. A comprehensive R framework for SDEs and other
stochastic processes. Use R, 2018. MR3793179
[8] M. Kessler. Estimation of an ergodic diffusion from discrete observations.
Scandinavian Journal of Statistics 24(2): 211–229, 1997. MR1455868
[9] U. K¨
uchler and S. Tappe. Bilateral gamma distributions and processes
in financial mathematics. Stochastic Process. Appl., 118(2):261–283, 2008.
MR2376902
[10] A. Løkka. Martingale representation of functionals of L´evy processes.
Stochastic Process. Appl., 22(4): 867–892, 2004. MR2062949
[11] D. B. Madan and E. Seneta. The variance gamma (v.g.) model for share
market returns. J. Bus., 63(4):511–524, 1990.
2474
H. Masuda et al.
[12] H. Masuda. Convergence of Gaussian quasi-likelihood random fields for
ergodic L´evy driven SDE observed at high frequency. Ann. Statist.,
41(3):1593–1641, 2013. MR3113823
[13] H. Masuda and Y. Uehara. Two-step estimation of ergodic L´evy driven
SDE. Stat. Inference Stoch. Process., 20(1):105–137, 2017. MR3619574
[14] P. E. Protter, Stochastic Integration and Differential Equations, second edition, Springer-Verlag, Berlin. MR2020294
[15] K.-i. Sato. L´evy processes and infinitely divisible distributions. Cambridge
university press, 1999. MR1739520
[16] D. Scott and C. Y. Dong. VarianceGamma: The Variance Gamma Distribution, 2018. R package version 0.4-0.
[17] D. Straumann. Estimation in conditionally heteroscedastic time series models, volume 181 of Lecture Notes in Statistics. Springer-Verlag, Berlin, 2005.
MR2142271
[18] Y. Uehara and H. Masuda. Stepwise estimation of a L´evy driven stochastic
differential equation. Proc. Inst. Statist. Math. (Japanese), 65(1):21–38,
2017. MR3701830
[19] Y. Uehara, Statistical inference for misspecified ergodic L´evy driven
stochastic differential equation models. Stochastic Process. Appl., 129(10):
4051–4081, 2019. MR3997671
[20] M. Weibel, D. Luethi, and W. Breymann. ghyp: Generalized Hyperbolic
Distribution and Its Special Cases, 2020. R package version 1.6.1.
...