Fujii, Takayuki; Uchida, Masayuki - In: Statistical Inference for Stochastic Processes 17 (2014) 3, pp. 267-282
We consider the model selection problem for ergodic diffusion processes based on sampled data. The adaptive estimators for parameters of drift and diffusion coefficients are used in order to construct Akaike’s information criterion (AIC) type model selection statistics. Asymptotic properties...