Robustified Gaussian quasi-BIC for volatility
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866914434200371200 |
|---|---|
| author | Eguchi, Shoichi Masuda, Hiroki |
| author_facet | Eguchi, Shoichi Masuda, Hiroki |
| contents | We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the density-power weighting and the Hölder(-inequality)-based normalization of the conventional Gaussian quasi-likelihood function, we propose two Schwarz-type statistics and also establish their model selection consistency with respect to the minimal true parametric volatility coefficient. Numerical experiments are conducted to illustrate our theoretical findings. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_29463 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Robustified Gaussian quasi-BIC for volatility Eguchi, Shoichi Masuda, Hiroki Statistics Theory We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the density-power weighting and the Hölder(-inequality)-based normalization of the conventional Gaussian quasi-likelihood function, we propose two Schwarz-type statistics and also establish their model selection consistency with respect to the minimal true parametric volatility coefficient. Numerical experiments are conducted to illustrate our theoretical findings. |
| title | Robustified Gaussian quasi-BIC for volatility |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2603.29463 |