Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise

DOI10.15559/18-VMSTA102MaRDI QIDQ1645196zbMATH OpenOpenAlexFDO

Authors O. V. Ivanov, I. V. Orlovs'kyĭ

Publication date 28 June 2018

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.03842

zbMATH Keywords

least squares estimatorprobabilities of large deviationscontinuous-time nonlinear regressionjointly strictly sub-Gaussian noise

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical summation of series (65B10) Sums of independent random variables; random walks (60G50) Convergence and divergence of series and sequences (40A05)

Abstract: A continuous-time regression model with a jointly strictly sub-Gaussian random noise is considered in the paper. Upper exponential bounds for probabilities of large deviations of the least squares estimator for the regression parameter are obtained.

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Cited in

(4)

• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• Large deviation for a least squares estimator in a nonlinear regression model
• Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model
• Large deviation inequalities of Bayesian estimator in nonlinear regression models

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