Large deviations for parameter estimators of some time inhomogeneous diffusion process

DOI10.1007/S10114-011-8626-9zbMath1225.62117OpenAlexW1997670231MaRDI QIDQ644655

Fu Qing Gao, Shoujiang Zhao

Publication date: 4 November 2011

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-011-8626-9

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

Related Items (1)

A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes

Cites Work

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• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Estimations of parametric functions under a system of linear regression equations with correlated errors
• Large deviations for statistics of the Jacobi process
• Large deviations for quadratic functionals of Gaussian processes
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process

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