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

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)516-532
ページ数17
ジャーナルJournal of Statistical Planning and Inference
139
2
DOI
出版ステータスPublished - 2009 2 1
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性
  • 応用数学

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