Schwartz type model selection for ergodic stochastic differential equation models

We study the construction of the theoretical foundation of model comparison for ergodic stochastic differential equation (SDE) models and an extension of the applicable scope of the conventional Bayesian information criterion. Different from previous studies, we suppose that the candidate models are...

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Bibliographische Detailangaben

Hauptverfasser:	Eguchi, Shoichi, Uehara, Yuma
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Theory
Online-Zugang:	Volltext bestellen
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