{
  "abstract": "This paper considers model-based clustering of diffusion processes using high-frequency data. We formulate a finite mixture model for diffusion processes and develop a clustering method based on their constant diffusion coefficients. Using a quasi-likelihood, we propose estimators of the number of clusters, the diffusion coefficients and the cluster labels, and establish their consistency and the asymptotic normality of the diffusion coefficient estimators under high-frequency asymptotics with the number of observed processes fixed. Simulation studies are conducted to investigate the finite-sample performance of the proposed method.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.37514",
  "author_total": 2,
  "authors": [
    {
      "name": "Shogo Kusano"
    },
    {
      "name": "Masayuki Uchida"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/0c8a520h4g7j9.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.37514",
  "fulltext_url": null,
  "id": "0c8a520h4g7j9",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.37514",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.ST"
    ],
    [
      "arxiv",
      "stat.TH"
    ],
    [
      "openalex",
      "1702|Bayesian Methods and Mixture Models"
    ]
  ],
  "openalex": "W7224080010",
  "pdf_url": "https://arxiv.org/pdf/2610.37514",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-27",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/0c8a520h4g7j9.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:35:53Z",
      "native_id": "2610.37514",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.37514"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.ST",
      "subfield": "statistics"
    }
  ],
  "title": "Model-based clustering of diffusion processes with constant volatility coefficients using high-frequency data",
  "title_text": "Model-based clustering of diffusion processes with constant volatility coefficients using high-frequency data",
  "type": "preprint",
  "updated_at": "2026-10-30T12:35:59Z",
  "url": "https://research.draconitic.com/paper/0c8a520h4g7j9",
  "venue": "arXiv",
  "versions": []
}