Predictive information criterion for jump diffusion processes
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866916886360358912 |
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| author | Uehara, Yuma |
| author_facet | Uehara, Yuma |
| contents | In this paper, we address a model selection problem for ergodic jump diffusion processes based on high-frequency samples. We evaluate the expected genuine log-likelihood function and derive an Akaike-type information criterion based on the threshold-based quasi-likelihood function. In the derivation process, we also give new estimates of the transition density of jump diffusion processes. We also provide the relative selection probability of the proposed information criterion. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_00411 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Predictive information criterion for jump diffusion processes Uehara, Yuma Statistics Theory In this paper, we address a model selection problem for ergodic jump diffusion processes based on high-frequency samples. We evaluate the expected genuine log-likelihood function and derive an Akaike-type information criterion based on the threshold-based quasi-likelihood function. In the derivation process, we also give new estimates of the transition density of jump diffusion processes. We also provide the relative selection probability of the proposed information criterion. |
| title | Predictive information criterion for jump diffusion processes |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2508.00411 |