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AIC type statistics for discretely observed ergodic diffusion processes |
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| Authors: | Takayuki Fujii Masayuki Uchida |
| Institution: | 1. Faculty of Economics, Shiga University, 1-1-1 Banba, Hikone, Shiga, ?522-8522, Japan 2. CREST, JST, 1-1-1 Banba, Hikone, Shiga, 522-8522, Japan 3. Graduate School of Engineering Science and Center for the Study of Finance and Insurance, Osaka University, 1-3 Machikaneyama-cho, Toyonaka, Osaka, ?560-8531, Japan 4. CREST, JST, 1-3 Machikaneyama-cho, Toyonaka, Osaka, 560-8531, Japan |
| Abstract: | We consider the model selection problem for ergodic diffusion processes based on sampled data. The adaptive estimators for parameters of drift and diffusion coefficients are used in order to construct Akaike’s information criterion (AIC) type model selection statistics. Asymptotic properties of our proposed criteria are given for three kinds of the adaptive estimators. |
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