Schwartz-type model selection for ergodic stochastic differential equation models

DOI10.1111/SJOS.12474zbMATH Open1473.62076arXiv1904.12398OpenAlexW3029116822WikidataQ114078100 ScholiaQ114078100MaRDI QIDQ5152175FDOQ5152175

Authors: Shoichi Eguchi, Yuma Uehara 

Publication date: 17 September 2021

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

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.

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

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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)

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