QBIC of SEM for diffusion processes from discrete observations

Shogo Kusano; Masayuki Uchida

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arXiv · 2407.01040

QBIC of SEM for diffusion processes from discrete observations

Shogo Kusano·Masayuki Uchida

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Abstract

We deal with a model selection problem for structural equation modeling (SEM) with latent variables for diffusion processes. Based on the asymptotic expansion of the marginal quasi-log likelihood, we propose two types of quasi-Bayesian information criteria of the SEM. It is shown that the information criteria have model selection consistency. Furthermore, we examine the finite-sample performance of the proposed information criteria by numerical experiments.

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Shogo Kusano, Masayuki Uchida. 2024-07-01. QBIC of SEM for diffusion processes from discrete observations. https://arxiv.org/abs/2407.01040

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