Asymptotic behaviours for the trajectory fitting estimator in Ornstein–Uhlenbeck process with linear drift

DOI10.1080/17442508.2015.1066378zbMath1335.62151OpenAlexW2337129334MaRDI QIDQ2804549

Chen Xie, Hui Jiang

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1066378

zbMATH Keywords

Ornstein-Uhlenbeck processmoderate deviationsmultiple Wiener-Itô integralstrajectory fitting estimators

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Estimation in survival analysis and censored data (62N02)

Related Items (4)

Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Maximum likelihood estimation for the reflected stochastic linear system with a large signal ⋮ Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes

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