Record number :
2042019
Title of article :
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Author/Authors :
Choi، نويسنده , , Hwan-sik and Jeong، نويسنده , , Minsoo and Park، نويسنده , , Joon Y.، نويسنده ,
Pages :
19
From page :
539
To page :
557
Abstract :
We provide a new asymptotic analysis of model selection procedure that compares likelihoods of two candidate diffusion models. Our asymptotic analysis relies on two dimensional asymptotic expansions with shrinking sampling interval Δ and increasing sampling span T , and clarifies the different roles of drift and diffusion functions in the selection of diffusion models. In particular, we show that the model with superior diffusion function specification is always preferred to the competing model regardless of their drift specifications if Δ is sufficiently small relative to T . The specifications of drift functions matter only when the models have an identical diffusion specification.
Keywords :
Model selection , Spot interest rate , Likelihood ratio , diffusion , information criterion , High frequency observation
Journal title :
Astroparticle Physics
Link To Document :
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