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math.ST2025
Akaike-type information criterion of SEM for jump-diffusion processes based on high-frequency data
Shogo Kusano, Masayuki Uchida
Structural equation modeling (SEM) is a statistical method used to investigate relationships among latent variables. In SEM, the model must be specified in advance. However, in pra…
math.ST2025
Statistical inference in SEM for diffusion processes with jumps based on high-frequency data
Shogo Kusano, Masayuki Uchida
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 t…
math.ST2025
Quasi-likelihood ratio test for jump-diffusion processes based on adaptive maximum likelihood inference
Hiromasa Nishikawa, Tetsuya Kawai, Masayuki Uchida
In this paper, we consider parameter estimation and quasi-likelihood ratio tests for multidimensional jump-diffusion processes defined by stochastic differential equations. In gene…