Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift (Q4965648): Difference between revisions

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scientific article; zbMATH DE number 7318774

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English	Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift	scientific article; zbMATH DE number 7318774

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scholarly article

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title

Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift (English)

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Stochastics and Dynamics

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publication date

9 March 2021

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zbMATH Keywords

likelihood ratio process

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mod-\(\phi\) convergence

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moderate deviation principle

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multiple Wiener-Itô integrals

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explosive Ornstein-Uhlenbeck process

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MaRDI profile type

MaRDI publication profile

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cites work

Parameter estimation of Gaussian stationary processes using the generalized method of moments

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Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

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Large deviations for the Ornstein-Uhlenbeck process with shift

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Large deviations for the Ornstein-Uhlenbeck process without tears

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Sharp Large Deviations for the Ornstein--Uhlenbeck Process

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Large deviations in testing fractional Ornstein-Uhlenbeck models

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ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION

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Hypothesis testing for stochastic PDEs driven by additive noise

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Parameter estimation for some non-recurrent solutions of SDE

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Berry-Ess\'een bounds for parameter estimation of general Gaussian processes

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Optimal rates for parameter estimation of stationary Gaussian processes

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Mod-ϕ Convergence

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Large deviations in estimation of an Ornstein-Uhlenbeck model

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Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift

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Moderate deviations and hypothesis testing for signal detection problem

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On large deviations in testing Ornstein-Uhlenbeck-type models

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Examples of moderate deviation principle for diffusion processes

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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion

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Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift

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Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift

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Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

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Statistical inference for ergodic diffusion processes.

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Tail behaviour of multiple random integrals and \(U\)-statistics

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On a multivariate version of Bernstein's inequality

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Introduction to Malliavin Calculus

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Q4947392

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Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes

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Asymptotics of sample entropy production rate for stochastic differential equations

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Asymptotics of the entropy production rate for \(d\)-dimensional Ornstein-Uhlenbeck processes

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Large deviations in testing Jacobi model

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Identifiers

zbMATH Open document ID

1461.62173

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DOI

10.1142/S0219493721500271

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4965648

@@ Property / cites work @@
+Parameter estimation of Gaussian stationary processes using the generalized method of moments
+Normal rank
@@ Property / cites work @@
+Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Large deviations for the Ornstein-Uhlenbeck process with shift
+Normal rank
@@ Property / cites work @@
+Large deviations for the Ornstein-Uhlenbeck process without tears
+Normal rank
@@ Property / cites work @@
+Sharp Large Deviations for the Ornstein--Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+Large deviations in testing fractional Ornstein-Uhlenbeck models
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
+Normal rank
@@ Property / cites work @@
+Hypothesis testing for stochastic PDEs driven by additive noise
+Normal rank
@@ Property / cites work @@
+Parameter estimation for some non-recurrent solutions of SDE
+Normal rank
@@ Property / cites work @@
+Berry-Ess\'een bounds for parameter estimation of general Gaussian processes
+Normal rank
@@ Property / cites work @@
+Optimal rates for parameter estimation of stationary Gaussian processes
+Normal rank
@@ Property / cites work @@
+Mod-ϕ Convergence
@@ Property / cites work: Mod-ϕ Convergence / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations in estimation of an Ornstein-Uhlenbeck model
+Normal rank
@@ Property / cites work @@
+Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Moderate deviations and hypothesis testing for signal detection problem
+Normal rank
@@ Property / cites work @@
+On large deviations in testing Ornstein-Uhlenbeck-type models
+Normal rank
@@ Property / cites work @@
+Examples of moderate deviation principle for diffusion processes
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
+Normal rank
@@ Property / cites work @@
+Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Statistical inference for ergodic diffusion processes.
+Normal rank
@@ Property / cites work @@
+Tail behaviour of multiple random integrals and \(U\)-statistics
+Normal rank
@@ Property / cites work @@
+On a multivariate version of Bernstein's inequality
+Normal rank
@@ Property / cites work @@
+Introduction to Malliavin Calculus
@@ Property / cites work: Introduction to Malliavin Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Q4947392
@@ Property / cites work: Q4947392 / rank @@
+Normal rank
@@ Property / cites work @@
+Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Asymptotics of sample entropy production rate for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Asymptotics of the entropy production rate for \(d\)-dimensional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Large deviations in testing Jacobi model
@@ Property / cites work: Large deviations in testing Jacobi model / rank @@
+Normal rank