統計数学セミナー
Seminar on Probability and Statistics |
Home : Archive [ 2003 to 04 ] [ 2004 to 05 ] [ 2005 to 06 ] [ 2006 to 07 ] [ 2007 to 08 ] [ 2008 to 09 ] [ 2009 to 10 ] [ 2010 to 11 ] [ 2011 to 12 ] [ 2012 to 13 ] [ 2013 to 14 ] [ 2014 to 15 ] |
Previous Seminar : Next Seminar |
Seminar on Probability and Statistics Wednesday July 19 2006 Tokyo 128 4:20-5:30 pm
Edgeworth Expansion for Likelihood Analysis on Ergodic Diffusions with applications to Bootstrap
深澤 正彰 / FUKASAWA, Masaaki 東京大学大学院数理科学研究科 / Graduate school of Mathematical Sciences, Univ. of Tokyo Abstract We shall consider the maximal lilelihood estimator for
the drift coefficient of a given one-dimensional diffusion.
An Edgeworth expansion formula will be presented and verify
a second-order correct confidence interval we shall newly propose.
We are also going to mention the likelihood ratio statistic,
which enjoys second-order correctness.
There are Bootstrap methods closely related to the subject and
introduced recently by the author.
Some generalized results on those methods will be also introduced in this talk.
|
Previous Seminar : Next Seminar | Seminar on Probability and Statistics |