arXiv · 1904.12398
Schwartz type model selection for ergodic stochastic differential equation models
Abstract
We study the construction of the theoretical foundation of model comparison for ergodic stochastic differential equation (SDE) models and an extension of the applicable scope of the conventional Bayesian information criterion. Different from previous studies, we suppose that the candidate models are possibly misspecified models, and we consider both Wiener and a pure-jump L\'{e}vy noise driven SDE. Based on the asymptotic behavior of the marginal quasi-log likelihood, the Schwarz type statistics and stepwise model selection procedure are proposed. We also prove the model selection consistency of the proposed statistics with respect to an optimal model. We conduct some numerical experiments and they support our theoretical findings.
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Shoichi Eguchi, Yuma Uehara. 2019-04-28. Schwartz type model selection for ergodic stochastic differential equation models. https://arxiv.org/abs/1904.12398
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