论文标题
基于高频数据的扩散过程的潜在变量的结构方程建模
Structural equation modeling with latent variables for diffusion processes based on high-frequency data
论文作者
论文摘要
我们考虑基于高频数据的扩散过程的潜在变量的结构方程建模（SEM）。我们得出了SEM中参数的准类估计器。提出了基于准类比率的拟合优点测试。此外，研究了我们提出的估计量的渐近性能。
We consider structural equation modeling (SEM) with latent variables for diffusion processes based on high-frequency data. We derive the quasi-likelihood estimators for parameters in the SEM. The goodness-of-fit test based on the quasi-likelihood ratio is proposed. Furthermore, the asymptotic properties of our proposed estimators are examined.
