Structural equation modeling with latent variables for diffusion processes and its application to sparse estimation

Autor:	Kusano, Shogo, Uchida, Masayuki
Rok vydání:	2023
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. The quasi-likelihood estimators for parameters in the SEM are proposed. The goodness-of-fit test is derived from the quasi-likelihood ratio. We also treat sparse estimation in the SEM. The goodness-of-fit test for the sparse estimation in the SEM is developed. Furthermore, the asymptotic properties of our proposed estimators are examined. Comment: 91pages. arXiv admin note: substantial text overlap with arXiv:2210.11677
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2305.02655 Zobrazit plný text záznamu View this record from Arxiv