Schwarz type model comparison for LAQ models

Abstract

For model-specification purpose, we study asymptotic behavior of the marginal quasi-log likelihood associated with a family of locally asymptotically quadratic (LAQ) statistical experiments. Our result entails a far-reaching extension of applicable scope of the classical approximate Bayesian model comparison due to Schwarz, with frequentist-view theoretical foundation. In particular, the proposed statistics can deal with both ergodic and non-ergodic stochastic-process models, where the corresponding $M$-estimator is of multi-scaling type and the asymptotic quasi-information matrix is random. Focusing on the ergodic diffusion model, we also deduce the consistency of the multistage optimal-model selection where we may select an optimal sub-model structure step by step, so that computational cost can be much reduced. We illustrate the proposed method by the Gaussian quasi-likelihood for diffusion-type models in details, together with several numerical experiments.