Statistical inference in SEM for diffusion processes with jumps based on high-frequency data

Shogo Kusano; Masayuki Uchida

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arXiv · 2505.12712

Statistical inference in SEM for diffusion processes with jumps based on high-frequency data

Shogo Kusano·Masayuki Uchida

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Abstract

We study structural equation modeling (SEM) for diffusion processes with jumps. Based on high-frequency data, we consider the parameter estimation and the goodness-of-fit test in the SEM. Using a threshold method, we propose the quasi-likelihood of the SEM and prove that the quasi-maximum likelihood estimator has consistency and asymptotic normality. To examine whether a specified parametric model is correct or not, we also construct the quasi-likelihood ratio test statistics and investigate the asymptotic properties. Furthermore, numerical simulations are conducted.

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Shogo Kusano, Masayuki Uchida. 2025-05-19. Statistical inference in SEM for diffusion processes with jumps based on high-frequency data. https://arxiv.org/abs/2505.12712

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