Expanding quasi-likelihood inference for Lévy driven models
Conference
64th ISI World Statistics Congress - Ottawa, Canada
Format: IPS Abstract
Keywords: lévy driven sde, quasi-likelihood inference, yuima package
Session: IPS 172 - Theoretical and computational developments of modeling non-Gaussian stochastic processes
Thursday 20 July 2 p.m. - 3:40 p.m. (Canada/Eastern)
Abstract
We consider statistical inference for non-Gaussian Lévy-driven stochastic differential equations. By making extensive use of appropriate quasi-likelihood functions, a stochastic expansion for the unit-time residual functionals is derived. The results reveal the quantitative effect of plugging in the estimators of the coefficients, paving a flexible way toward practical and theoretically validated inference procedures for the driving-noise characteristics. Also presented are some combined usage of the different quasi-likelihoods for asymptotically efficient inference and implementation of the obtained theory in the computer software. This talk is based on the joint works with Lorenzo Mercuri and Yuma Uehara.