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pro vyhledávání: '"Eguchi, Shoichi"'
Autor:
Eguchi, Shoichi, Masuda, Hiroki
We consider relative model comparison for the parametric coefficients of a semiparametric ergodic L\'{e}vy driven model observed at high-frequency. Our asymptotics is based on the fully explicit two-stage Gaussian quasi-likelihood function (GQLF) of
Externí odkaz:
http://arxiv.org/abs/2203.04039
Autor:
Eguchi, Shoichi, Uehara, Yuma
We study the construction of the theoretical foundation of model comparison for ergodic stochastic differential equation (SDE) models and an extension of the applicable scope of the conventional Bayesian information criterion. Different from previous
Externí odkaz:
http://arxiv.org/abs/1904.12398
Autor:
Eguchi, Shoichi, Masuda, Hiroki
We study parametric estimation of ergodic diffusions observed at high frequency. Different from the previous studies, we suppose that sampling stepsize is unknown, thereby making the conventional Gaussian quasi-likelihood not directly applicable. In
Externí odkaz:
http://arxiv.org/abs/1801.10378
Autor:
Eguchi, Shoichi, Masuda, Hiroki
For model-specification purpose, we study asymptotic behavior of the marginal quasi-log likelihood associated with a family of locally asymptotically quadratic (LAQ) statistical experiments. Our result entails a far-reaching extension of applicable s
Externí odkaz:
http://arxiv.org/abs/1606.01627
Autor:
Eguchi, Shoichi
The stochastic expansion of the marginal quasi-likelihood function associated with a class of generalized linear models is shown. Based on the expansion, a quasi-Bayesian information criterion is proposed that is able to deal with misspecified models
Externí odkaz:
http://arxiv.org/abs/1601.01082
Autor:
EGUCHI, SHOICHI, MASUDA, HIROKI
Publikováno v:
Bernoulli, 2018 Aug 01. 24(3), 2278-2327.
Externí odkaz:
https://www.jstor.org/stable/26492068
Akademický článek
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Autor:
Eguchi, Shoichi, Masuda, Hiroki
Publikováno v:
Annals of the Institute of Statistical Mathematics; Feb2024, Vol. 76 Issue 1, p111-157, 47p
Autor:
Eguchi, Shoichi1 (AUTHOR), Uehara, Yuma2 (AUTHOR) y-uehara@kansai-u.ac.jp
Publikováno v:
Scandinavian Journal of Statistics. Sep2021, Vol. 48 Issue 3, p950-968. 19p.