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Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe |
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| Authors: | Uchida Masayuki Yoshida Nakahiro |
| Institution: | (1) Faculty of Mathematics, Kyushu University, Ropponmatsu, Fukuoka, 810-8560, Japan;(2) Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo, 153-8914, Japan |
| Abstract: | Information criteria based on the expected Kullback–Leibler information are presented by means of the asymptotic expansions derived with the Malliavin calculus. We consider the evaluation problem of statistical models for diffusion processes with small noise. The correction terms are essentially different from the ones for ergodic diffusion models presented in Uchida and Yoshida 34, 35]. |
| Keywords: | information criterion asymptotic expansion median unbiasedness diffusion process with small noise Malliavin calculus M-estimators |
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