Statistical inference in SEM for diffusion processes with jumps based on high-frequency data
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866909615218753536 |
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| author | Kusano, Shogo Uchida, Masayuki |
| author_facet | Kusano, Shogo Uchida, Masayuki |
| contents | We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the quasi-likelihood of the SEM and prove that the quasi-maximum likelihood estimator has consistency and asymptotic normality. To examine whether a specified parametric model is correct or not, we also construct the quasi-likelihood ratio test statistics and investigate the asymptotic properties. Furthermore, numerical simulations are conducted. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_12712 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Statistical inference in SEM for diffusion processes with jumps based on high-frequency data Kusano, Shogo Uchida, Masayuki Statistics Theory We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the quasi-likelihood of the SEM and prove that the quasi-maximum likelihood estimator has consistency and asymptotic normality. To examine whether a specified parametric model is correct or not, we also construct the quasi-likelihood ratio test statistics and investigate the asymptotic properties. Furthermore, numerical simulations are conducted. |
| title | Statistical inference in SEM for diffusion processes with jumps based on high-frequency data |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2505.12712 |