Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process

DOI10.15559/16-VMSTA54zbMath1352.60041arXiv1607.03601MaRDI QIDQ340819

Dmytro Marushkevych

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.03601

zbMATH Keywords

large deviationsmaximum likelihood estimatormixed fractional Brownian motionmixed fractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

Related Items (7)

A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift ⋮ Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations ⋮ Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects ⋮ Fractional processes and their statistical inference: an overview ⋮ Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion ⋮ Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects

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