Statistical inference in factor analysis for diffusion processes from discrete observations

DOI10.1016/J.JSPI.2023.07.009MaRDI QIDQ6076572zbMATH OpenOpenAlexFDO

Authors Shogo Kusano, Masayuki Uchida

Publication date 17 October 2023

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.01481

zbMATH Keywords

asymptotic theoryfactor analysishigh-frequency datastochastic differential equation

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series data has been mainly discussed in the field of high dimensional covariance matrix estimation. In this field, the method based on principal component analysis has been mainly used. However, this method is effective only for high dimensional model. On the other hand, there is a method based on the quasi-likelihood. However, since the factor is assumed to be observable, we cannot use this method when the factor is latent. Thus, the existing methods are not effective when the factor is latent and the dimension of the observable variable is not so high. Therefore, we propose an effective method in the situation.

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Cited in

(2)

• Quasi-Akaike information criterion of SEM with latent variables for diffusion processes
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