Deviation probability bound for martingales with applications to statistical estimation

DOI10.1016/S0167-7152(99)00121-2zbMath0953.62080OpenAlexW2082373836WikidataQ127957472 ScholiaQ127957472MaRDI QIDQ1970829

Robert Sh. Liptser, Vladimir Spokoiny

Publication date: 11 January 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00121-2

zbMATH Keywords

martingalesmaximum likelihood estimatesautoregressive modelslinear diffusionsdeviation probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes (62M99) Markov processes: hypothesis testing (62M02)

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