Bernoulli

  • Bernoulli
  • Volume 24, Number 3 (2018), 2278-2327.

Schwarz type model comparison for LAQ models

Shoichi Eguchi and Hiroki Masuda

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Abstract

For model-comparison purpose, we study asymptotic behavior of the marginal quasi-log likelihood associated with a family of locally asymptotically quadratic (LAQ) statistical experiments. Our result entails a far-reaching extension of applicable scope of the classical approximate Bayesian model comparison due to Schwarz, with frequentist-view theoretical foundation. In particular, the proposed statistics can deal with both ergodic and non-ergodic stochastic process models, where the corresponding $M$-estimator may of multi-scaling type and the asymptotic quasi-information matrix may be random. We also deduce the consistency of the multistage optimal-model selection where we select an optimal sub-model structure step by step, so that computational cost can be much reduced. Focusing on some diffusion type models, we illustrate the proposed method by the Gaussian quasi-likelihood for diffusion-type models in details, together with several numerical experiments.

Article information

Source
Bernoulli, Volume 24, Number 3 (2018), 2278-2327.

Dates
Received: June 2016
Revised: November 2016
First available in Project Euclid: 2 February 2018

Permanent link to this document
https://projecteuclid.org/euclid.bj/1517540475

Digital Object Identifier
doi:10.3150/17-BEJ928

Mathematical Reviews number (MathSciNet)
MR3757530

Zentralblatt MATH identifier
06839267

Keywords
approximate Bayesian model comparison Gaussian quasi-likelihood locally asymptotically quadratic family quasi-likelihood Schwarz’s criterion

Citation

Eguchi, Shoichi; Masuda, Hiroki. Schwarz type model comparison for LAQ models. Bernoulli 24 (2018), no. 3, 2278--2327. doi:10.3150/17-BEJ928. https://projecteuclid.org/euclid.bj/1517540475


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