Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe
Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe
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DOI：
10.1023/b:sisp.0000016462.43348.8f
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发表时间：
2004-03
影响因子：
0.8
通讯作者：
Masayuki Uchida;N. Yoshida
中科院分区：
文献类型：
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作者：
Masayuki Uchida;N. Yoshida
基于期望Kullback-Leibler信息的信息准则是通过Malliavin演算导出的渐近展开式给出的。研究了小噪声扩散过程统计模型的评价问题。修正项与内田和吉田提出的遍历扩散模型的修正项有本质的不同。
Information criteria based on the expected Kullback–Leibler information are presented by means of the asymptotic expansions derived with the Malliavin calculus. We consider the evaluation problem of statistical models for diffusion processes with small noise. The correction terms are essentially different from the ones for ergodic diffusion models presented in Uchida and Yoshida [34, 35].