Edit Profile (opens in new tab) Masuda, Hiroki Co-Author Distance Author ID: masuda.hiroki Published as: Masuda, Hiroki; Masuda, H. Homepage: https://www2.math.kyushu-u.ac.jp/~hiroki/hmhp.html External Links: Google Scholar Documents Indexed: 39 Publications since 2004, including 1 Book and 4 Additional arXiv Preprints 1 Contribution as Editor Co-Authors: 26 Co-Authors with 26 Joint Publications 464 Co-Co-Authors all top 5 Co-Authors 14 single-authored 5 Kawai, Reiichiro 3 Eguchi, Shoichi 3 Uehara, Yuma 3 Yoshida, Nakahiro 2 Shimizu, Yusuke 1 Belomestny, Denis 1 Brouste, Alexandre 1 Cheng, Yuzhong 1 Comte, Fabienne 1 Fujinaga, Yuki 1 Genon-Catalot, Valentine 1 Ho, Ka Long Keith 1 Hufnagel, Nicole 1 Imamura, Takumi 1 Ivanenko, Dmytro O. 1 Jasra, Ajay 1 Kamatani, Kengo 1 Kulik, Alexey M. 1 Lee, Sangyeol 1 Mercuri, Lorenzo 1 Negri, Ilia 1 Ninomiya, Yoshiyuki 1 Nishiyama, Yoichi 1 Reiß, Markus 1 Tajima, Hayato 1 Umezu, Yuta all top 5 Serials 5 Stochastic Processes and their Applications 5 Statistical Inference for Stochastic Processes 3 Annals of the Institute of Statistical Mathematics 2 Statistics & Probability Letters 2 Bernoulli 2 Electronic Journal of Statistics 2 Japanese Journal of Statistics and Data Science 1 Scandinavian Journal of Statistics 1 The Annals of Statistics 1 Journal of Computational and Applied Mathematics 1 Journal of Statistical Planning and Inference 1 Bulletin of Informatics and Cybernetics 1 Communications in Statistics. Simulation and Computation 1 Mathematical Methods of Statistics 1 Monte Carlo Methods and Applications 1 Electronic Communications in Probability 1 Journal of Nonparametric Statistics 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Lecture Notes in Mathematics 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Journal of the Japan Statistical Society. Japanese Issue all top 5 Fields 31 Statistics (62-XX) 26 Probability theory and stochastic processes (60-XX) 5 Numerical analysis (65-XX) 1 General and overarching topics; collections (00-XX) 1 Ordinary differential equations (34-XX) 1 Computer science (68-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 30 Publications have been cited 451 times in 292 Documents Cited by ▼ Year ▼ Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps. Zbl 1118.60070 Masuda, Hiroki 83 2007 On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process. Zbl 1048.60060 Masuda, Hiroki 75 2004 On simulation of tempered stable random variates. Zbl 1217.65017 Kawai, Reiichiro; Masuda, Hiroki 31 2011 Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency. Zbl 1292.62124 Masuda, Hiroki 24 2013 Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes. Zbl 1329.62364 Masuda, Hiroki 23 2010 Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations. Zbl 1489.62261 Kawai, Reiichiro; Masuda, Hiroki 20 2012 Lévy matters IV. Estimation for discretely observed Lévy processes. Zbl 1330.60002 Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus 19 2015 Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016 Kawai, Reiichiro; Masuda, Hiroki 16 2011 Schwarz type model comparison for LAQ models. Zbl 1419.62047 Eguchi, Shoichi; Masuda, Hiroki 15 2018 Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling. Zbl 1333.60095 Kawai, Reiichiro; Masuda, Hiroki 15 2013 Moment convergence in regularized estimation under multiple and mixed-rates asymptotics. Zbl 1380.62082 Masuda, H.; Shimizu, Y. 13 2017 Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process. Zbl 1450.62106 Masuda, Hiroki 12 2019 Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach. Zbl 1359.62149 Masuda, Hiroki; Negri, Ilia; Nishiyama, Yoichi 12 2011 On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling. Zbl 1208.62037 Kawai, Reiichiro; Masuda, Hiroki 11 2011 Parametric estimation of Lévy processes. Zbl 1332.62288 Masuda, Hiroki 11 2015 Asymptotic expansion for Barndorff-Nielsen and Shephard’s stochastic volatility model. Zbl 1085.60048 Masuda, H.; Yoshida, N. 8 2005 Uniform LAN property of locally stable Lévy process observed at high frequency. Zbl 1331.60078 Ivanenko, Dmytro; Kulik, Alexey M.; Masuda, Hiroki 8 2015 Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes. Zbl 1284.62529 Masuda, Hiroki 8 2013 On stability of diffusions with compound-Poisson jumps. Zbl 1270.60088 Masuda, Hiroki 8 2008 Efficient estimation of stable Lévy process with symmetric jumps. Zbl 1443.62235 Brouste, Alexandre; Masuda, Hiroki 8 2018 AIC for the non-concave penalized likelihood method. Zbl 1418.62279 Umezu, Yuta; Shimizu, Yusuke; Masuda, Hiroki; Ninomiya, Yoshiyuki 7 2019 Erratum to: “Ergodicity and exponential \(\beta \)-mixing bound for multidimensional diffusions with jumps”. Zbl 1158.60368 Masuda, Hiroki 7 2009 Bayesian inference for stable Lévy-driven stochastic differential equations with high-frequency data. Zbl 1418.62288 Jasra, Ajay; Kamatani, Kengo; Masuda, Hiroki 4 2019 Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling. Zbl 1294.62039 Masuda, Hiroki 4 2009 Two-step estimation of ergodic Lévy driven SDE. Zbl 1369.62216 Masuda, Hiroki; Uehara, Yuma 3 2017 Data driven time scale in Gaussian quasi-likelihood inference. Zbl 1433.62247 Eguchi, Shoichi; Masuda, Hiroki 2 2019 Optimal stable Ornstein-Uhlenbeck regression. Zbl 07716673 Masuda, Hiroki 1 2023 Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process. Zbl 1329.60282 Masuda, Hiroki; Yoshida, Nakahiro 1 2013 Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE. Zbl 1209.62197 Lee, Sangyeol; Masuda, Hiroki 1 2010 Estimating ergodic process driven by non-Gaussian noise. Zbl 07387192 Masuda, Hiroki 1 2015 Optimal stable Ornstein-Uhlenbeck regression. Zbl 07716673 Masuda, Hiroki 1 2023 Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process. Zbl 1450.62106 Masuda, Hiroki 12 2019 AIC for the non-concave penalized likelihood method. Zbl 1418.62279 Umezu, Yuta; Shimizu, Yusuke; Masuda, Hiroki; Ninomiya, Yoshiyuki 7 2019 Bayesian inference for stable Lévy-driven stochastic differential equations with high-frequency data. Zbl 1418.62288 Jasra, Ajay; Kamatani, Kengo; Masuda, Hiroki 4 2019 Data driven time scale in Gaussian quasi-likelihood inference. Zbl 1433.62247 Eguchi, Shoichi; Masuda, Hiroki 2 2019 Schwarz type model comparison for LAQ models. Zbl 1419.62047 Eguchi, Shoichi; Masuda, Hiroki 15 2018 Efficient estimation of stable Lévy process with symmetric jumps. Zbl 1443.62235 Brouste, Alexandre; Masuda, Hiroki 8 2018 Moment convergence in regularized estimation under multiple and mixed-rates asymptotics. Zbl 1380.62082 Masuda, H.; Shimizu, Y. 13 2017 Two-step estimation of ergodic Lévy driven SDE. Zbl 1369.62216 Masuda, Hiroki; Uehara, Yuma 3 2017 Lévy matters IV. Estimation for discretely observed Lévy processes. Zbl 1330.60002 Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus 19 2015 Parametric estimation of Lévy processes. Zbl 1332.62288 Masuda, Hiroki 11 2015 Uniform LAN property of locally stable Lévy process observed at high frequency. Zbl 1331.60078 Ivanenko, Dmytro; Kulik, Alexey M.; Masuda, Hiroki 8 2015 Estimating ergodic process driven by non-Gaussian noise. Zbl 07387192 Masuda, Hiroki 1 2015 Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency. Zbl 1292.62124 Masuda, Hiroki 24 2013 Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling. Zbl 1333.60095 Kawai, Reiichiro; Masuda, Hiroki 15 2013 Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes. Zbl 1284.62529 Masuda, Hiroki 8 2013 Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process. Zbl 1329.60282 Masuda, Hiroki; Yoshida, Nakahiro 1 2013 Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations. Zbl 1489.62261 Kawai, Reiichiro; Masuda, Hiroki 20 2012 On simulation of tempered stable random variates. Zbl 1217.65017 Kawai, Reiichiro; Masuda, Hiroki 31 2011 Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016 Kawai, Reiichiro; Masuda, Hiroki 16 2011 Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach. Zbl 1359.62149 Masuda, Hiroki; Negri, Ilia; Nishiyama, Yoichi 12 2011 On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling. Zbl 1208.62037 Kawai, Reiichiro; Masuda, Hiroki 11 2011 Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes. Zbl 1329.62364 Masuda, Hiroki 23 2010 Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE. Zbl 1209.62197 Lee, Sangyeol; Masuda, Hiroki 1 2010 Erratum to: “Ergodicity and exponential \(\beta \)-mixing bound for multidimensional diffusions with jumps”. Zbl 1158.60368 Masuda, Hiroki 7 2009 Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling. Zbl 1294.62039 Masuda, Hiroki 4 2009 On stability of diffusions with compound-Poisson jumps. Zbl 1270.60088 Masuda, Hiroki 8 2008 Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps. Zbl 1118.60070 Masuda, Hiroki 83 2007 Asymptotic expansion for Barndorff-Nielsen and Shephard’s stochastic volatility model. Zbl 1085.60048 Masuda, H.; Yoshida, N. 8 2005 On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process. Zbl 1048.60060 Masuda, Hiroki 75 2004 all cited Publications top 5 cited Publications all top 5 Cited by 351 Authors 21 Masuda, Hiroki 17 Kawai, Reiichiro 14 Yoshida, Nakahiro 11 Wang, Jian 9 Gloter, Arnaud 8 Belomestny, Denis 7 Grabchak, Michael 7 Leonenko, Nikolai N. 7 Uchida, Masayuki 7 Zhang, Xinsheng 6 Stelzer, Robert 6 Todorov, Viktor 6 Uehara, Yuma 5 Brouste, Alexandre 5 Sandrić, Nikola 4 Clement, Emmanuelle 4 Grahovac, Danijel 4 Jin, Peng 4 Kremer, Jonas 4 Lee, Sangyeol 4 Ogihara, Teppei 4 Rüdiger, Barbara 4 Taufer, Emanuele 3 Amorino, Chiara 3 Carnaffan, Sean 3 Fasen, Vicky 3 Friesen, Martin 3 Kaino, Yusuke 3 Lin, Zhengyan 3 Long, Hongwei 3 Mariucci, Ester 3 Mies, Fabian 3 Nakakita, Shogo H. 3 Ninomiya, Yoshiyuki 3 Nishiyama, Yoichi 3 Sabino, Piergiacomo 3 Schmisser, Emeline 3 Shimizu, Yasutaka 3 Shimizu, Yusuke 3 Sikorskii, Alla 3 Tang, Yanlin 3 Wang, Yinfeng 3 Xu, Lihu 3 Zhang, Shibin 2 Arapostathis, Aristotle 2 Barrera, Gerardo 2 Boniece, B. Cooper 2 Caruana, Mark Anthony 2 Courgeau, Valentin 2 Cufaro Petroni, Nicola 2 De Gregorio, Alessandro 2 Dexheimer, Niklas 2 Didier, Gustavo 2 Dion, Charlotte 2 Duan, Jinqiao 2 Duval, Céline 2 Eguchi, Shoichi 2 Fasen-Hartmann, Vicky 2 Fujimori, Kou 2 Fukasawa, Masaaki 2 Genon-Catalot, Valentine 2 Gong, Yuting 2 González-Manteiga, Wenceslao 2 Gugushvili, Shota 2 Guo, Meihui 2 Hu, Jianqiang 2 Hu, Yaozhong 2 Ivanenko, Dmytro O. 2 Ivanovs, Jevgeņijs 2 Kalloniatis, Alexander C. 2 Khmaladze, Estate V. 2 Kohatsu-Higa, Arturo 2 Koike, Yuta 2 Kulik, Alexey M. 2 Lemler, Sarah 2 Liang, Mingjie 2 Lin, Liang-Ching 2 Löcherbach, Eva 2 Loukianova, Dasha 2 Mai, Hilmar 2 Majka, Mateusz B. 2 Marquardt, Tina 2 Mercuri, Lorenzo 2 Mijatović, Aleksandar 2 Nualart, Eulalia 2 Pang, Guodong 2 Pardo, Juan Carlos 2 Priola, Enrico 2 Roberts, Dale O. 2 Sabzikar, Farzad 2 Schilling, René Leander 2 Söhl, Jakob 2 Song, Yanhong 2 Spreij, Peter 2 Strauch, Claudia 2 Toke, Ioane Muni 2 Trabs, Mathias 2 Trottner, Lukas 2 Tsujimura, Motoh 2 van der Meulen, Frank Henri ...and 251 more Authors all top 5 Cited in 92 Serials 34 Stochastic Processes and their Applications 25 Statistical Inference for Stochastic Processes 19 Bernoulli 16 Electronic Journal of Statistics 9 Annals of the Institute of Statistical Mathematics 8 Journal of Statistical Planning and Inference 7 Communications in Statistics. Theory and Methods 7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 6 Journal of Econometrics 6 Japanese Journal of Statistics and Data Science 5 Advances in Applied Probability 5 The Annals of Statistics 5 Statistics & Probability Letters 5 Statistics 5 Journal of Theoretical Probability 5 Journal of Physics A: Mathematical and Theoretical 3 Journal of Statistical Physics 3 Journal of Computational and Applied Mathematics 3 Journal of Multivariate Analysis 3 The Annals of Applied Probability 3 Computational Statistics 3 Communications in Statistics. Simulation and Computation 3 Journal of Statistical Computation and Simulation 3 Theory of Probability and Mathematical Statistics 3 Mathematical Methods of Statistics 3 Quantitative Finance 3 Science China. Mathematics 3 Statistics and Computing 3 Journal of the Japan Statistical Society. Japanese Issue 2 The Canadian Journal of Statistics 2 Scandinavian Journal of Statistics 2 Chaos, Solitons and Fractals 2 Journal of the American Statistical Association 2 Journal of Applied Probability 2 Mathematische Nachrichten 2 Journal of Time Series Analysis 2 Stochastic Analysis and Applications 2 Probability Theory and Related Fields 2 Computational Statistics and Data Analysis 2 Test 2 SIAM Journal on Scientific Computing 2 Finance and Stochastics 2 Methodology and Computing in Applied Probability 2 Stochastics 1 Computers & Mathematics with Applications 1 Journal of Mathematical Analysis and Applications 1 Mathematical Methods in the Applied Sciences 1 Metrika 1 Physica A 1 Applied Mathematics and Computation 1 Applied Mathematics and Optimization 1 Mathematics and Computers in Simulation 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Operations Research 1 Journal of the Japan Statistical Society 1 Insurance Mathematics & Economics 1 Physica D 1 Mathematical and Computer Modelling 1 Science in China. Series A 1 Annals of Operations Research 1 Economics Letters 1 International Journal of Computer Mathematics 1 Linear Algebra and its Applications 1 Journal of Mathematical Imaging and Vision 1 Potential Analysis 1 Applied and Computational Harmonic Analysis 1 Monte Carlo Methods and Applications 1 Electronic Journal of Probability 1 Positivity 1 International Journal of Theoretical and Applied Finance 1 Journal of Applied Statistics 1 Communications in Nonlinear Science and Numerical Simulation 1 Probability in the Engineering and Informational Sciences 1 Econometric Theory 1 Brazilian Journal of Probability and Statistics 1 Journal of Evolution Equations 1 Journal of Systems Science and Complexity 1 Stochastic Models 1 Stochastics and Dynamics 1 Asia-Pacific Financial Markets 1 Review of Derivatives Research 1 Statistical Methods and Applications 1 Oberwolfach Reports 1 Journal of the Korean Statistical Society 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 SIAM Journal on Financial Mathematics 1 Probability Surveys 1 Journal of Computational and Graphical Statistics 1 Stochastic and Partial Differential Equations. Analysis and Computations 1 Journal of Dynamics and Games 1 Foundations of Data Science all top 5 Cited in 23 Fields 225 Probability theory and stochastic processes (60-XX) 194 Statistics (62-XX) 28 Numerical analysis (65-XX) 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Dynamical systems and ergodic theory (37-XX) 9 Partial differential equations (35-XX) 5 Statistical mechanics, structure of matter (82-XX) 5 Systems theory; control (93-XX) 4 Operator theory (47-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 4 Computer science (68-XX) 2 Ordinary differential equations (34-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Biology and other natural sciences (92-XX) 2 Information and communication theory, circuits (94-XX) 1 General and overarching topics; collections (00-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Integral equations (45-XX) 1 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Geophysics (86-XX) Citations by Year