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Information Criteria in Model Selection for Mixing Processes

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  • Masayuki Uchida
  • Nakahiro Yoshida

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  • Masayuki Uchida & Nakahiro Yoshida, 2001. "Information Criteria in Model Selection for Mixing Processes," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 73-98, January.
    • Handle: RePEc:spr:sistpr:v:4:y:2001:i:1:p:73-98
    DOI: 10.1023/A:1017535913009
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    References listed on IDEAS

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    1. Veretennikov, A. Yu., 1997. "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
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    Cited by:

    1. Masayuki Uchida & Nakahiro Yoshida, 2004. "Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe," Statistical Inference for Stochastic Processes, Springer, vol. 7(1), pages 35-67, March.
    2. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
    3. Yuji Sakamoto & Nakahiro Yoshida, 2009. "Third-order asymptotic expansion of M-estimators for diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 629-661, September.
    4. Yuji Sakamoto & Nakahiro Yoshida, 2004. "Asymptotic expansion formulas for functionals of ε-Markov processes with a mixing property," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(3), pages 545-597, September.
    5. Masuda, Hiroki, 2007. "Ergodicity and exponential [beta]-mixing bounds for multidimensional diffusions with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 35-56, January.
    6. Masayuki Uchida, 2010. "Contrast-based information criterion for ergodic diffusion processes from discrete observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 161-187, February.
    7. Yoshida, Nakahiro, 2023. "Asymptotic expansion and estimates of Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 176-248.
    8. Kengo Kamatani & Masayuki Uchida, 2015. "Hybrid multi-step estimators for stochastic differential equations based on sampled data," Statistical Inference for Stochastic Processes, Springer, vol. 18(2), pages 177-204, July.
    9. Takayuki Fujii & Masayuki Uchida, 2014. "AIC type statistics for discretely observed ergodic diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 17(3), pages 267-282, October.
    10. S. C. Pandhare & T. V. Ramanathan, 2020. "The robust focused information criterion for strong mixing stochastic processes with $$\mathscr {L}^{2}$$ L 2 -differentiable parametric densities," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 637-663, October.
    11. Nakahiro Yoshida, 2011. "Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(3), pages 431-479, June.
    12. Stefano Maria IACUS & Alessandro DE GREGORIO, 2010. "Adaptive LASSO-type estimation for ergodic diffusion processes," Departmental Working Papers 2010-13, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    13. Yoshida, Nakahiro, 2013. "Martingale expansion in mixed normal limit," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 887-933.
    14. Tudor, Ciprian A. & Yoshida, Nakahiro, 2023. "High order asymptotic expansion for Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 443-492.
    15. Yusuke Shimizu, 2017. "Moment convergence of regularized least-squares estimator for linear regression model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(5), pages 1141-1154, October.
    16. Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for stochastic differential equations from reduced data," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 435-454, July.
    17. Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for small diffusion processes based on reduced data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(7), pages 745-773, October.
    18. Masayuki Uchida & Nakahiro Yoshida, 2014. "Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 17(2), pages 181-219, July.
    19. Shoichi Eguchi & Hiroki Masuda, 2019. "Data driven time scale in Gaussian quasi-likelihood inference," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 383-430, October.

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