Statistical inference in SEM for diffusion processes with jumps based on high-frequency data
Statistics Theory
2025-05-20 v1 Statistics Theory
Abstract
We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the quasi-likelihood of the SEM and prove that the quasi-maximum likelihood estimator has consistency and asymptotic normality. To examine whether a specified parametric model is correct or not, we also construct the quasi-likelihood ratio test statistics and investigate the asymptotic properties. Furthermore, numerical simulations are conducted.
Cite
@article{arxiv.2505.12712,
title = {Statistical inference in SEM for diffusion processes with jumps based on high-frequency data},
author = {Shogo Kusano and Masayuki Uchida},
journal= {arXiv preprint arXiv:2505.12712},
year = {2025}
}