An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
基于高频数据的似然扩散模型选择：渐近分析
We provide a new asymptotic analysis of model selection procedure that compares likelihoods of two candidate diffusion models. Our asymptotic analysis relies on two dimensional asymptotic expansions with shrinking sampling interval Δ and increasing sampling span T, and clarifies the different roles of drift and diffusion functions in the selection of diffusion models. In particular, we show that the model with superior diffusion function specification is always preferred to…