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arXiv · 2402.08959

Quasi-Akaike information criterion of structural equation modeling with latent variables for diffusion processes

Shogo Kusano·Masayuki Uchida
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Abstract

We consider a model selection problem for structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. First, we propose the quasi-Akaike information criterion of the SEM and study the asymptotic properties. Next, we consider the situation where the set of competing models includes some misspecified parametric models. It is shown that the probability of choosing the misspecified models converges to zero. Furthermore, examples and simulation results are given.

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Shogo Kusano, Masayuki Uchida. 2024-02-14. Quasi-Akaike information criterion of structural equation modeling with latent variables for diffusion processes. https://arxiv.org/abs/2402.08959

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