【摘要】 本文利用经验似然方法得到了二阶扩散模型的漂移系数和扩散系数的经验似然估计量,并研究这些估计量的相合性和渐近正态性.进一步在经验似然方法的基础上给出了漂移系数和扩散系数的非对称的置信区间,并且在一定的条件下证明了调整的对数似然比是渐近卡方分布的.更多还原

【Abstract】 In this paper, we develop an empirical likelihood method to construct empirical likelihood estimators for nonparametric drift and diffusion functions in the second-order diffusion model, and the consistency and asymptotic normality of the empirical likelihood estimators are obtained. Moreover, the nonsymmetric confidence intervals for drift and diffusion functions based on empirical likelihood methods are obtained, and the adjusted empirical log-likelihood ratio is proved to be asymptotically standard chi-square under some mild conditions.更多还原