QBIC of SEM for diffusion processes from discrete observations
Statistics Theory
2024-07-02 v1 Statistics Theory
Abstract
We deal with a model selection problem for structural equation modeling (SEM) with latent variables 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.
Cite
@article{arxiv.2407.01040,
title = {QBIC of SEM for diffusion processes from discrete observations},
author = {Shogo Kusano and Masayuki Uchida},
journal= {arXiv preprint arXiv:2407.01040},
year = {2024}
}
Comments
26pages, 4figures. arXiv admin note: text overlap with arXiv:2402.08959