2 papers
math.ST2022
Structural equation modeling with latent variables for diffusion processes based on high-frequency data
Shogo Kusano, Masayuki Uchida
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. We derive the quasi-likelihood estimators for parameters…
math.ST2022
Statistical inference in factor analysis for diffusion processes from discrete observations
Shogo Kusano, Masayuki Uchida
We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series da…