Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
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DOI: 10.1016/j.spa.2018.11.007
Abstract: This paper deals with the estimation problem of misspecified ergodic L\'evy driven stochastic differential equation models based on high-frequency samples. We utilize the widely applicable and tractable Gaussian quasi-likelihood approach which focuses on (conditional) mean… read more here.
Keywords: stochastic differential; equation models; differential equation; equation ... See more keywords