Quasi-Bayesian information criterion of SEM for diffusion processes based on high-frequency data

Shogo Kusano () and Masayuki Uchida
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Shogo Kusano: Kumamoto University
Masayuki Uchida: The University of Osaka

Statistical Inference for Stochastic Processes, 2025, vol. 28, issue 2, No 2, 28 pages

Abstract: Abstract We deal with a model selection problem for structural equation modeling (SEM) for diffusion processes. Based on the asymptotic expansion of the marginal quasi-log likelihood, we propose two types of quasi-Bayesian information criteria of the SEM. It is shown that the information criteria have model selection consistency. Furthermore, we examine the finite-sample performance of the proposed information criteria by numerical experiments.

Keywords: Structural equation modeling; Quasi-Bayesian information criterion; Diffusion process; High-frequency data (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11203-025-09327-8

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