本文印刷
全画面プリント
統計数学セミナー
過去の記録 ～05/02｜次回の予定｜今後の予定 05/03～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| 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
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/06.html
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 ]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.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/06.html
