Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations

DOI10.1214/20-EJS1738zbMath1451.62108OpenAlexW3083145908MaRDI QIDQ2199706

Youzhou Zhou, Hui Liu, Hui Jiang

Publication date: 14 September 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1599271584

zbMATH Keywords

Ornstein-Uhlenbeck processdiscrete observationsmultiple Wiener-Itô integralsmoderate deviation principle

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Estimation in survival analysis and censored data (62N02)

Related Items (5)

Deviation properties for linear self-attracting diffusion process and applications ⋮ Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications ⋮ Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

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