B0479
Title: Gaussian quasi-information criterion for ergodic SDEs
Authors: Shoichi Eguchi - Osaka Institute of Technology (Japan) [presenting]
Hiroki Masuda - University of Tokyo (Japan)
Abstract: There are several studies of model selection for stochastic differential equations (SDEs), for example, the contrast-based information criterion for ergodic diffusion processes and the Schwarz type information criterion for locally asymptotically quadratic models. We consider pure-jump L\'{e}vy noise-driven SDEs as the candidate models and propose the AIC-type information criterion the stepwise model selection procedure.
