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Author ID: masuda.hiroki Recent zbMATH articles by "Masuda, Hiroki"
Published as: Masuda, Hiroki; Masuda, H.
Homepage: https://www2.math.kyushu-u.ac.jp/~hiroki/hmhp.html
External Links: Google Scholar

Publications by Year

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 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

Citations by Year