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A0442
Title: Model selection for stochastic differential equations in YUIMA package Authors:  Shoichi Eguchi - Osaka University (Japan) [presenting]
Abstract: There are several studies of model selection for stochastic differential equations (SDEs), which includes the contrast-based information criterion for ergodic diffusion processes (CIC) and the Schwarz type information criterion for locally asymptotically quadratic models (BIC, quasi-BIC). Based on these studies, we create the model selection function for SDEs in R package yuima. In particular, this function can calculate CIC, BIC and quasi-BIC for each candidate model. We will first overview the model selection methods for SDEs and then explain the specification of the model selection function. Some model selection examples are given in order to show how to use the function.