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arXiv · 2305.02655

Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation

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. 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.

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Shogo Kusano, Masayuki Uchida. 2023-05-04. Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation. https://arxiv.org/abs/2305.02655

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