Structural equation modeling with latent variables for diffusion processes based on high-frequency data (2210.11677v1)

Abstract: 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.