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

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.

91pages. arXiv admin note: substantial text overlap with arXiv:2210.11677