Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process

DOI10.1080/17442508.2019.1637877zbMath1490.62300OpenAlexW2959907409MaRDI QIDQ5086490

Ning Zhang, Hui Jiang

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1637877

zbMATH Keywords

maximum likelihood estimatormultiple Wiener-Itô integralsmoderate deviation principledeviation inequalitiesnon-stationary 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 (8)

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 ⋮ An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process ⋮ Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Self-normalized Cramér-type moderate deviations for explosive Vasicek model ⋮ Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

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