Structural equation modeling with latent variables for diffusion processes based on high-frequency data

10/21/2022

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by   Shogo Kusano, et al.

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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.