Structural equation modeling with latent variables for diffusion processes based on high-frequency data
Statistics Theory
2022-10-24 v1 Statistics Theory
Abstract
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. We derive the quasi-likelihood estimators for parameters in the SEM. The goodness-of-fit test based on the quasi-likelihood ratio is proposed. Furthermore, the asymptotic properties of our proposed estimators are examined.
Cite
@article{arxiv.2210.11677,
title = {Structural equation modeling with latent variables for diffusion processes based on high-frequency data},
author = {Shogo Kusano and Masayuki Uchida},
journal= {arXiv preprint arXiv:2210.11677},
year = {2022}
}
Comments
54pages