Title: Consistent model selection for ergodic diffusions in data driven time scale
Authors: Shoichi Eguchi - Osaka Institute of Technology (Japan) [presenting]
Hiroki Masuda - Kyushu University (Japan)
Abstract: There are several studies of model selection for stochastic differential equations(SDEs), which includes the contrast-based information criterion for ergodic diffusion processes and the Schwarz type information criterion for locally asymptotically quadratic models. However, most of the existing theoretical literature has been developed in known model-time scale. We will first overview parameter estimation method for ergodic diffusion processes with unknown model-time scale and then propose the Schwarz type statistics for model selection.