Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation
Statistics Theory
2023-06-09 v2 Statistics Theory
Abstract
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. The quasi-likelihood estimators for parameters in the SEM are proposed. The goodness-of-fit test is derived from the quasi-likelihood ratio. We also treat sparse estimation in the SEM. The goodness-of-fit test for the sparse estimation in the SEM is developed. Furthermore, the asymptotic properties of our proposed estimators are examined.
Cite
@article{arxiv.2305.02655,
title = {Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation},
author = {Shogo Kusano and Masayuki Uchida},
journal= {arXiv preprint arXiv:2305.02655},
year = {2023}
}
Comments
91pages. arXiv admin note: substantial text overlap with arXiv:2210.11677