Related papers: Quasi-likelihood ratio test for jump-diffusion pro…
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately optimal way to achieve improved finite-sample performance. We…
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps and spike noise. By employing density-power weighting and…
We study the asymptotic theory of misspecified models for diffusion processes with noisy nonsynchronous observations. Unlike with correctly specified models, the original maximum-likelihood-type estimator has an asymptotic bias under the…
Biochemical reactions can happen on different time scales and also the abundance of species in these reactions can be very different from each other. Classical approaches, such as deterministic or stochastic approach, fail to account for or…
In this article, we consider a jump diffusion process (X_t), with drift function b, diffusion coefficient sigma and jump coefficient xi^{2}. This process is observed at discrete times t=0,Delta,...,nDelta. The sampling interval Delta tends…
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estimators. After developing a numerical…
We consider parametric estimation of the continuous part of a class of ergodic diffusions with jumps based on high-frequency samples. Various papers previously proposed threshold based methods, which enable us to distinguish whether…
Dedicated to the memory of Professor Tze Leung Lai, this paper introduces three multi-hypothesis sequential tests. These tests are derived from one-sided versions of the sequential probability ratio test and its modifications. They are…
Fitting regression models for intensity functions of spatial point processes is of great interest in ecological and epidemiological studies of association between spatially referenced events and geographical or environmental covariates.…
We consider the problem of testing for a dose-related effect based on a candidate set of (typically nonlinear) dose-response models using likelihood-ratio tests. For the considered models this reduces to assessing whether the slope…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
In this paper, we propose two new tests for testing the equality of the covariance functions of several functional populations, namely a quasi GPF test and a quasi $F_{\max}$ test. The asymptotic random expressions of the two tests under…
Nanoscopic diffusion at surfaces normally takes place when an adsorbate jumps from one adsorption site to the other. Jump diffusion can be measured via quasi-elastic scattering experiments, and the results can often be interpreted in terms…
In this paper, we aim to develop the averaging principle for a slow-fast system of stochastic reaction-diffusion equations driven by Poisson random measures. The coefficients of the equation are assumed to be functions of time, and some of…
We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.
Nonuniform subsampling methods are effective to reduce computational burden and maintain estimation efficiency for massive data. Existing methods mostly focus on subsampling with replacement due to its high computational efficiency. If the…
This paper investigates the quasi-maximum likelihood inference including estimation, model selection and diagnostic checking for linear double autoregressive (DAR) models, where all asymptotic properties are established under only…
We provide a semi-parametric analysis for the proportional likelihood ratio model, proposed by Luo & Tsai (2012). We study the tangent spaces for both the parameter of interest and the nuisance parameter, and obtain an explicit expression…
The Onsager--Machlup action functional is an important concept in statistical mechanics and thermodynamics to describe the probability of fluctuations in nonequilibrium systems. It provides a powerful tool for analyzing and predicting the…
Linear mixed-effects models are widely used in analyzing clustered or repeated measures data. We propose a quasi-likelihood approach for estimation and inference of the unknown parameters in linear mixed-effects models with high-dimensional…