統計数学セミナー
Seminar on Probability and Statistics
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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.




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Seminar on Probability and Statistics