Seminar on Probability and Statistics

Seminar information archive ~07/13Next seminarFuture seminars 07/14~

Organizer(s) Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike

2006/07/19

16:20-17:30   Room #128 (Graduate School of Math. Sci. Bldg.)
深澤 正彰 (東京大学大学院数理科学研究科)
Edgeworth Expansion for Likelihood Analysis on Ergodic Diffusions with applications to Bootstrap
[ 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.
[ Reference URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/06.html