Self-normalized Cramér-type moderate deviations for explosive Vasicek model
From MaRDI portal
Publication:6204782
DOI10.1007/s10959-023-01264-7MaRDI QIDQ6204782
Xiao Wei, Hui Jiang, Yajuan Pan
Publication date: 2 April 2024
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
multiple Wiener-Itô integralsCramér-type moderate deviationdeviation inequalitiesself-normalizedexplosive Vasicek model
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)
Cites Work
- Unnamed Item
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Estimation and pricing under long-memory stochastic volatility
- Large deviations for the Ornstein-Uhlenbeck process without tears
- Large deviations of realized volatility
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Statistical inference for ergodic diffusion processes.
- Moderate deviations and nonparametric inference for monotone functions
- Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Optimal rates for parameter estimation of stationary Gaussian processes
- Self-normalized Cramér type moderate deviations for martingales
- Estimation of the realized (co-)volatility vector: large deviations approach
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
- On a multivariate version of Bernstein's inequality
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Long memory in continuous-time stochastic volatility models
- The Malliavin Calculus and Related Topics
- Large deviations for the Ornstein-Uhlenbeck process with shift
- Some comments concerning a curious singularity
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
- An equilibrium characterization of the term structure
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Berry-Ess\'een bounds for parameter estimation of general Gaussian processes
- Large and moderate deviations for estimators of quadratic variational processes of diffusions.