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

Yasutaka Shimizu

doi:10.1016/j.jspi.2008.05.009

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

Yasutaka Shimizu^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (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 language	English
Pages (from-to)	516-532
Number of pages	17
Journal	Journal of Statistical Planning and Inference
Volume	139
Issue number	2
DOIs	https://doi.org/10.1016/j.jspi.2008.05.009
Publication status	Published - 2009 Feb 1
Externally published	Yes

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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10.1016/j.jspi.2008.05.009

Cite this

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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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M3 - Article

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JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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