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[ΰV³²i“Œ‹ž‘εŠw‘εŠw‰@”—‰ΘŠwŒ€‹†‰Θj
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Confidence intervals for diffusions
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Asymptotic expansions of studentized maximum likelihood estimators in general statistical model are investigated in terms of constructing confidence intervals. The result is applied to the construction of second-order correct confidence intervals for ergodic and small diffusions. Estimators of the coefficients of the asymptotic expansion in multi-dimensional symmetric ergodic diffusion models are proposed.