統計数学セミナー

過去の記録 ~03/28次回の予定今後の予定 03/29~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2006年07月19日(水)

16:20-17:30   数理科学研究科棟(駒場) 128号室
深澤 正彰 氏 (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
[ 講演概要 ]
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.
[ 参考URL ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/06.html