Schwartz‐type model selection for ergodic stochastic differential equation models
Author:
Affiliation:
1. Center for Mathematical Modeling and Data Science Osaka University
2. Department of Mathematics, Faculty of Engineering Science Kansai University
Funder
Core Research for Evolutional Science and Technology
Japan Society for the Promotion of Science
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/sjos.12474
Reference24 articles.
1. Akaike H.1973.Information theory and an extension of the maximum likelihood principle. Paper presented at: Proceedings of the 2nd International Symposium on Information Theory (Tsahkadsor 1971) (pp. 267–281). Akadémiai Kiadó Budapest.
2. A new look at the statistical model identification
3. The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations
4. Model Selection and Model Averaging
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