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Seminar on Probability and Statistics
Seminar information archive ～04/25｜Next seminar｜Future seminars 04/26～
| Organizer(s) | Nakahiro Yoshida, 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
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/06.html
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 ]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
