A0457
Title: Model comparison for ergodic Levy driven SDEs in YUIMA
Authors: Shoichi Eguchi - Osaka Institute of Technology (Japan) [presenting]
Abstract: There are several studies of model selection for stochastic differential equations (SDEs), which include the contrast-based information criterion for ergodic diffusion processes and the Schwarz type information criterion for ergodic SDEs. Based on these studies, in the R package yuima, the function for model selection for diffusion processes has been implemented. However, this function is not compatible with the model selection for Levy driven SDEs. We will overview the model selection methods for Levy driven SDEs and explain the improvements of the model selection function.
