Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift

DOI10.1142/S0219493721500271zbMath1461.62173OpenAlexW3095357055MaRDI QIDQ4965648

Hui Liu, Hui Jiang

Publication date: 9 March 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500271

zbMATH Keywords

multiple Wiener-Itô integralsmoderate deviation principlelikelihood ratio processmod-\(\phi\) convergenceexplosive Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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

Related Items (2)

Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications ⋮ Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

Cites Work

• Unnamed Item
• Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
• Asymptotics of sample entropy production rate for stochastic differential equations
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Large deviations for the Ornstein-Uhlenbeck process without tears
• Parameter estimation of Gaussian stationary processes using the generalized method of moments
• On large deviations in testing Ornstein-Uhlenbeck-type models
• Asymptotics of the entropy production rate for \(d\)-dimensional Ornstein-Uhlenbeck processes
• Large deviations in testing fractional Ornstein-Uhlenbeck models
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Tail behaviour of multiple random integrals and \(U\)-statistics
• Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
• Large deviations in testing Jacobi model
• Statistical inference for ergodic diffusion processes.
• Moderate deviations and hypothesis testing for signal detection problem
• Hypothesis testing for stochastic PDEs driven by additive noise
• Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
• Optimal rates for parameter estimation of stationary Gaussian processes
• On a multivariate version of Bernstein's inequality
• Examples of moderate deviation principle for diffusion processes
• Mod-ϕ Convergence
• Large deviations for the Ornstein-Uhlenbeck process with shift
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Parameter estimation for some non-recurrent solutions of SDE
• Introduction to Malliavin Calculus
• Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Berry-Ess\'een bounds for parameter estimation of general Gaussian processes

This page was built for publication: Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift