非线性随机过程的拟似然分析

IF 2 Q2 ECONOMICS

Econometrics and Statistics Pub Date : 2025-01-01 DOI:10.1016/j.ecosta.2022.04.002

Nakahiro Yoshida

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引用次数: 0

摘要

简要介绍了拟似然分析理论，并通过对半鞅波动参数估计的应用证明了它的有效性。QLA的简化版本被召回。强调了反映可辨识性的键索引的非简并性的作用。在QLA的一个应用中，引入了全局跳变滤波器的概念，以便从受跳变污染的数据中精确估计波动参数。

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Quasi-likelihood analysis for nonlinear stochastic processes

A brief overview of the theory of quasi-likelihood analysis (QLA) is given and its usefulness is demonstrated with applications to estimation for a volatility parameter of a semimartingale. A simplified version of the QLA is recalled. The role of non-degeneracy of a key index reflecting identifiability is highlighted. In an application of the QLA, the concept of global jump filters is introduced for precise estimation of the volatility parameter from the data contaminated with jumps.

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来源期刊

Econometrics and Statistics ECONOMICS-

CiteScore

3.10

自引率

10.50%

发文量

期刊介绍： Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.