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

Gaussian quasi-likelihoodhigh-frequency samplingLévy-driven stochastic differential equationstepwise model selection

Mathematics Subject Classification ID

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

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.

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