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Nakahiro Yoshida

Nakahiro Yoshida

Overview

Nakahiro Yoshida is affiliated with the University of Tokyo in Japan. Their research primarily focuses on the fields of economics, econometrics, and finance, with a significant emphasis on mathematics. The major subfields of their work include finance, statistics and probability, mathematical physics, computational theory and mathematics, and modeling and simulation.

The main topics covered in Yoshida's research revolve around stochastic processes and financial applications, financial risk and volatility modeling, statistical methods and inference, stochastic processes and statistical mechanics, mathematical biology related to tumor growth, advanced mathematical modeling in engineering, and statistical methods including Bayesian inference.

Yoshida has published extensively in several academic venues. Frequent publication venues include:

  • arXiv (Cornell University)
  • Annals of the Institute of Statistical Mathematics
  • Stochastic Processes and their Applications
  • Statistical Inference for Stochastic Processes
  • Japanese Journal of Statistics and Data Science

Some of their recent papers are:

  • Adaptive estimation for degenerate diffusion processes, 2021, Electronic Journal of Statistics
  • Penalized least squares approximation methods and their applications to stochastic processes, 2020, Japanese Journal of Statistics and Data Science
  • Global jump filters and quasi-likelihood analysis for volatility, 2021, Annals of the Institute of Statistical Mathematics
  • Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion, 2020, Statistical Inference for Stochastic Processes
  • Adaptive and non-adaptive estimation for degenerate diffusion processes, 2020, arXiv (Cornell University)

Frequent co-authors with whom Yoshida has collaborated include Arnaud Gloter, Hayate Yamagishi, J. Yoshida, Ciprian A. Tudor, and Yuliya Mishura. These collaborations reflect interdisciplinary connections within statistical and mathematical fields.

Best Publications

  • On covariance estimation of non-synchronously observed diffusion processes

    Takaki Hayashi;Nakahiro Yoshida

  • Estimation for diffusion processes from discrete observation

    Nakahiro Yoshida

  • Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe

    Nakahiro Yoshida

  • Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations

    Yasutaka Shimizu;Nakahiro Yoshida

  • ASYMPTOTIC EXPANSION FOR STATISTICS RELATED TO SMALL DIFFUSIONS

    Nakahiro Yoshida

  • Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

    Nakahiro Yoshida

  • Adaptive estimation of an ergodic diffusion process based on sampled data

    Masayuki Uchida;Nakahiro Yoshida

  • Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

    Takaki Hayashi;Nakahiro Yoshida

  • The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

    Alexandre Brouste;Masaaki Fukasawa;Hideitsu Hino;Stefano M. Iacus

  • An Asymptotic Expansion Scheme for Optimal Investment Problems

    Akihiko Takahashi;Nakahiro Yoshida

  • Quasi-likelihood analysis for the stochastic differential equation with jumps

    T. Ogihara;N. Yoshida

  • Malliavin calculus and asymptotic expansion for martingales

    Nakahiro Yoshida

  • Nonsynchronous covariation process and limit theorems

    Takaki Hayashi;Nakahiro Yoshida

  • Irregular sampling and central limit theorems for power variations: The continuous case

    Takaki Hayashi;Jean Jacod;Nakahiro Yoshida

  • Malliavin calculus, geometric mixing, and expansion of diffusion functionals

    Shigeo Kusuoka;Nakahiro Yoshida

  • Estimation of the lead-lag parameter from non-synchronous data

    M. Hoffmann;M. Rosenbaum;N. Yoshida

  • Information Criteria in Model Selection for Mixing Processes

    Masayuki Uchida;Nakahiro Yoshida

  • Information criteria for small diffusions via the theory of Malliavin-Watanabe

    Masayuki Uchida;Nakahiro Yoshida

  • Asymptotic Expansion for Small Diffusions Applied to Option Pricing

    Masayuki Uchida;Nakahiro Yoshida

  • On covariance estimation of non-synchronously observed diffusion

    Takaki Hayashi;Nakahiro Yoshida

Frequent Co-Authors

Mark Podolskij
Mark Podolskij University of Luxembourg
Jean Jacod
Jean Jacod Sorbonne University
David Nualart
David Nualart University of Kansas

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