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<p>We deal with a model selection problem for structural equation modeling (SEM) for diffusion processes. Based on the asymptotic expansion of the marginal quasi-log likelihood, we propose two types of quasi-Bayesian information criteria of the SEM. It is shown that the information criteria have model selection consistency. Furthermore, we examine the finite-sample performance of the proposed information criteria by numerical experiments.</p>

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Quasi-Bayesian information criterion of SEM for diffusion processes based on high-frequency data

  • 期刊论文

  • 发表日期：

    2025年5月29日

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  • Shogo Kusano,
  • Masayuki Uchida

摘要

We deal with a model selection problem for structural equation modeling (SEM) for diffusion processes. Based on the asymptotic expansion of the marginal quasi-log likelihood, we propose two types of quasi-Bayesian information criteria of the SEM. It is shown that the information criteria have model selection consistency. Furthermore, we examine the finite-sample performance of the proposed information criteria by numerical experiments.