Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process
From MaRDI portal
Publication:5369326
DOI10.1137/S0040585X97T988253zbMath1376.62049arXiv1407.4949OpenAlexW2963613525MaRDI QIDQ5369326
Publication date: 16 October 2017
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.4949
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Large deviations (60F10)
Related Items (6)
Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications ⋮ Sharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross Process ⋮ Large deviations for the Ornstein-Uhlenbeck process without tears ⋮ Weighted least-squares estimation for the subcritical Heston process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
- Moderate deviations for squared radial Ornstein-Uhlenbeck process
- Statistical inference for ergodic diffusion processes.
- Inequalities for generalized hypergeometric functions
- Large deviations for squared radial Ornstein-Uhlenbeck processes.
- Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Large deviations for the Ornstein-Uhlenbeck process with shift
- Estimation for Continuous Branching Processes
- Weighted least-squares estimation for the subcritical Heston process
This page was built for publication: Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process
