Schwartz-type model selection for ergodic stochastic differential equation models

DOI10.1111/SJOS.12474MaRDI QIDQ5152175zbMATH OpenOpenAlexWikidataFDO

Authors Shoichi Eguchi, Yuma Uehara

Publication date 17 September 2021

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.12398

zbMATH Keywords

high-frequency samplingGaussian quasi-likelihoodstepwise model selectionLévy-driven stochastic differential equation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Statistical ranking and selection procedures (62F07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Abstract: We study the construction of the theoretical foundation of model comparison for ergodic stochastic differential equation (SDE) models and an extension of the applicable scope of the conventional Bayesian information criterion. Different from previous studies, we suppose that the candidate models are possibly misspecified models, and we consider both Wiener and a pure-jump L'{e}vy noise driven SDE. Based on the asymptotic behavior of the marginal quasi-log likelihood, the Schwarz type statistics and stepwise model selection procedure are proposed. We also prove the model selection consistency of the proposed statistics with respect to an optimal model. We conduct some numerical experiments and they support our theoretical findings.

Recommendations

• Statistical modeling for stochastic differential equations
• Schwarz type model comparison for LAQ models
• scientific article; zbMATH DE number 7192329
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• scientific article; zbMATH DE number 2175088

Cited in

(8)

• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• scientific article; zbMATH DE number 7660132 (Why is no real title available?)
• scientific article; zbMATH DE number 7192329 (Why is no real title available?)
• Schwarz type model comparison for LAQ models
• Thin film models with constant source: model selection in a stochastic setting
• Statistical modeling for stochastic differential equations
• Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
• A modified SEIR model with a jump in the transmission parameter applied to COVID-19 data on Wuhan

This page was built for publication: Schwartz-type model selection for ergodic stochastic differential equation models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5152175)