Structural equation modeling with latent variables for diffusion processes based on high-frequency data

Shogo Kusano; Masayuki Uchida

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arXiv · 2210.11677

Structural equation modeling with latent variables for diffusion processes based on high-frequency data

Shogo Kusano·Masayuki Uchida

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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.

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Shogo Kusano, Masayuki Uchida. 2022-10-21. Structural equation modeling with latent variables for diffusion processes based on high-frequency data. https://arxiv.org/abs/2210.11677

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