AIC type statistics for discretely observed ergodic diffusion processes

Takayuki Fujii () and Masayuki Uchida

Statistical Inference for Stochastic Processes, 2014, vol. 17, issue 3, 267-282

Abstract: We consider the model selection problem for ergodic diffusion processes based on sampled data. The adaptive estimators for parameters of drift and diffusion coefficients are used in order to construct Akaike’s information criterion (AIC) type model selection statistics. Asymptotic properties of our proposed criteria are given for three kinds of the adaptive estimators. Copyright Springer Science+Business Media Dordrecht 2014

Keywords: Adaptive estimation; Akaike’s information criterion; Diffusion process; Discrete observations; Model selection; Primary 62F12; 62M05; Secondary 60J60 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11203-014-9101-x

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