On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge

DOI10.1016/J.SPL.2018.03.001zbMath1391.60050OpenAlexW2792220115MaRDI QIDQ1642264

Ting Chen, Qiaojing Liu, Shoujiang Zhao

Publication date: 20 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.03.001

zbMATH Keywords

large deviation principlemaximum likelihood estimator\(\alpha\)-Brownian bridge

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

Related Items (1)

A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes

Cites Work

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• Large deviation expansion for maximum-likelihood estimator of α −Brownian bridge
• Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process
• Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations

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