TY - JOUR
T1 - Model selection for Lévy measures in diffusion processes with jumps from discrete observations
AU - Shimizu, Yasutaka
PY - 2009/2/1
Y1 - 2009/2/1
N2 - 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.
AB - 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.
KW - Diffusion processes with jumps
KW - Discrete observations
KW - Expectation-unbiasedness
KW - Lévy measures
KW - Model selection
KW - Quasi-information criteria
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U2 - 10.1016/j.jspi.2008.05.009
DO - 10.1016/j.jspi.2008.05.009
M3 - Article
AN - SCOPUS:55149088339
VL - 139
SP - 516
EP - 532
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
SN - 0378-3758
IS - 2
ER -