Moderate deviations for squared radial Ornstein-Uhlenbeck process

DOI10.1016/j.spl.2009.02.011zbMath1163.62309OpenAlexW1983795252MaRDI QIDQ1026335

Hui Jiang, Fu Qing Gao

Publication date: 24 June 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.02.011

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Reliability and life testing (62N05)

Related Items

Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process ⋮ Large deviations in testing squared radial Ornstein-Uhlenbeck model ⋮ Moderate deviations for a stochastic heat equation with spatially correlated noise ⋮ Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process ⋮ Moderate deviations for parameter estimation in some time inhomogeneous diffusions ⋮ Weighted least-squares estimation for the subcritical Heston process ⋮ Moderate deviation principles for stochastic differential equations with jumps ⋮ Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process

Cites Work

• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• Estimation for Continuous Branching Processes
• A decomposition of Bessel Bridges
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
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