Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
type: Item
instance of: scholarly article
title: Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
zbMATH Open document ID: 1503.60032
author: J. Z. Cui
author: Qiaojing Liu
published in: Statistics \& Probability Letters
publication date: 2022-12-02T00:00:00Z
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62M02
zbMATH DE Number: 7626072
zbMATH Keywords: log-likelihood ratio
zbMATH Keywords: Cramér moderate deviations
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: \( \alpha \)-Wiener bridge
MaRDI profile type: Publication
full work available at URL: j.spl.2022.109690
OpenAlex ID: W4296639370
cites work: Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
cites work: Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
cites work: Sharp Large Deviations for the Ornstein--Uhlenbeck Process
cites work: Large deviations in testing fractional Ornstein-Uhlenbeck models
cites work: Self-normalized Cramér type moderate deviations for stationary sequences and applications
cites work: Mod-ϕ Convergence
cites work: Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
cites work: Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
cites work: Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
cites work: Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
cites work: Large and moderate deviations in testing time inhomogeneous diffusions
cites work: On a multivariate version of Bernstein's inequality
cites work: Cramér type moderate deviation theorems for self-normalized processes
cites work: On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
DOI: 10.1016/J.SPL.2022.109690
description: scientific article; zbMATH DE number 7626072