Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2022.109690zbMath1503.60032OpenAlexW4296639370MaRDI QIDQ2107585

Qiaojing Liu, Jiazhen Cui

Publication date: 2 December 2022

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

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109690

zbMATH Keywords

Ornstein-Uhlenbeck processlog-likelihood ratioCramér moderate deviations\( \alpha \)-Wiener bridge

Mathematics Subject Classification ID

Gaussian processes (60G15) Parametric hypothesis testing (62F03) Large deviations (60F10) Markov processes: hypothesis testing (62M02)

Cites Work

• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
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• Cramér type moderate deviation theorems for self-normalized processes
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• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
• On a multivariate version of Bernstein's inequality
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Mod-ϕ Convergence
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process

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