@ | ||
@ | ||
[ΰV³²iεwεw@Θw€Θj | ||
@ | ||
Confidence intervals for diffusions | ||
@ | ||
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. | ||