{"title":"非线性随机过程的拟似然分析","authors":"Nakahiro Yoshida","doi":"10.1016/j.ecosta.2022.04.002","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"33 ","pages":"Pages 246-257"},"PeriodicalIF":2.5000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Quasi-likelihood analysis for nonlinear stochastic processes\",\"authors\":\"Nakahiro Yoshida\",\"doi\":\"10.1016/j.ecosta.2022.04.002\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":54125,\"journal\":{\"name\":\"Econometrics and Statistics\",\"volume\":\"33 \",\"pages\":\"Pages 246-257\"},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2025-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics and Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2452306222000429\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"2022/4/26 0:00:00\",\"PubModel\":\"Epub\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2452306222000429","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2022/4/26 0:00:00","PubModel":"Epub","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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.
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