Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
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Publication:2199706
DOI10.1214/20-EJS1738zbMath1451.62108OpenAlexW3083145908MaRDI QIDQ2199706
Youzhou Zhou, Hui Liu, Hui Jiang
Publication date: 14 September 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1599271584
Ornstein-Uhlenbeck processdiscrete observationsmultiple Wiener-Itô integralsmoderate deviation principle
Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Estimation in survival analysis and censored data (62N02)
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