Abstract
For statistical models including continuous time stochastic processes, two types of information criteria based on the expected Kullback-Leibler information are proposed. The information criteria are applied to the evaluation of various types of statistical models and they are generally different from the results proposed in Uchida and Yoshida [33], which are based on the estimated Kullback-Leibler information. As an example, we present two information criteria for ergodic diffusion processes.
Funding Statement
This work was in part supported by the Research Fund for Scientists of the Ministry of Education, Culture, Sports, Science and Technology, and by Cooperative Program of the Institute of Statistical Mathematics.
Acknowledgements
The authors wish to thank the referee for his careful reading and valuable comments.
Citation
Masayuki Uchida. Nakahiro Yoshida. "Asymptotic expansion and information criteria." SUT J. Math. 42 (1) 31 - 58, January 2006. https://doi.org/10.55937/sut/1159987576
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