Large deviations for statistics of the Jacobi process

DOI10.1016/J.SPA.2008.02.015MaRDI QIDQ1004404zbMATH OpenOpenAlexFDO

Authors Nizar Demni, Marguerite Zani

Publication date 10 March 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0611884

zbMATH Keywords

Jacobi processlarge deviationsmaximum likelihoodsubordinated Jacobi process

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Large deviations (60F10) Foundations of stochastic processes (60G05) Asymptotic properties of parametric estimators (62F12)

Abstract: In this paper, we derive a handable expression for the Jacobi process semi group which is given by a bilinear series involving Jacobi polynomials. Our attempt uses a subordination of the considered process by means of a suitable random change. Once we did, we will be able, in the ultraspheric case, to derive a LDP for a family of estimators based on a single trajectory of the process.

Recommendations

• Moderate deviations for statistics of Jacobi process
• Large deviations in testing Jacobi model
• Large deviations and a new sum rule for spectral matrix measures of the Jacobi ensemble
• Nonstandard limit theorems and large deviations for the Jacobi beta ensemble
• Large deviations for Gaussian stationary processes and semi-classical analysis

Cites work

• An interest rate model with upper and lower bounds
• Banach algebras for Jacobi series and positivity of a kernel
• Classical diffusion processes and total positivity
• Estimation for Continuous Branching Processes
• scientific article; zbMATH DE number 4016808 (Why is no real title available?)
• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
• scientific article; zbMATH DE number 3125478 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3527042 (Why is no real title available?)
• scientific article; zbMATH DE number 1210412 (Why is no real title available?)
• scientific article; zbMATH DE number 1231230 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 2050983 (Why is no real title available?)
• scientific article; zbMATH DE number 3226563 (Why is no real title available?)
• scientific article; zbMATH DE number 3230499 (Why is no real title available?)
• Infinitely Divisible Laws Associated with Hyperbolic Functions
• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions

Cited in

(24)

• Large deviations in testing Jacobi model
• The moments of a diffusion process
• The Jacobi stochastic volatility model
• Stochastic areas, winding numbers and Hopf fibrations
• Moments of the Hermitian matrix Jacobi process
• On non-local ergodic Jacobi semigroups: spectral theory, convergence-to-equilibrium and contractivity
• Time-non-local Pearson diffusions
• The subelliptic heat kernel of the octonionic Hopf fibration
• Fluctuations of \(\beta\)-Jacobi product processes
• Modelling joint behaviour of asset prices using stochastic correlation
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• Liberation of projections
• Large Deviations for Clocks of Self-similar Processes
• Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
• Moderate deviations for statistics of Jacobi process
• Alternative to beta coefficients in the context of diffusions
• β-Jacobi processes
• Large deviations for the Ornstein-Uhlenbeck process without tears
• Lipschitzian norm estimate of one-dimensional Poisson equations and applications
• Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process
• Large deviations for parameter estimators of some time inhomogeneous diffusion process
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• An exponential nonuniform Berry-Esseen bound of the maximum likelihood estimator in a Jacobi process
• The spectral edge of unitary Brownian motion

This page was built for publication: Large deviations for statistics of the Jacobi process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1004404)