Model selection for Lévy measures in diffusion processes with jumps from discrete observations

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

We deal with parametric inference and selection problems for jump components in discretely observed diffusion processes with jumps. We prepare several competing parametric models for the Lévy measure that might be misspecified, and select the best model from the aspect of information criteria. We construct quasi-information criteria (QIC), which are approximations of the information criteria based on continuous observations.

Original languageEnglish
Pages (from-to)516-532
Number of pages17
JournalJournal of Statistical Planning and Inference
Volume139
Issue number2
DOIs
Publication statusPublished - 2009 Feb 1
Externally publishedYes

Keywords

  • Diffusion processes with jumps
  • Discrete observations
  • Expectation-unbiasedness
  • Lévy measures
  • Model selection
  • Quasi-information criteria

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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