Moderate deviations for squared radial Ornstein-Uhlenbeck process

DOI10.1016/j.spl.2009.02.011zbMath1163.62309MaRDI 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

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

60F10: Large deviations

62N05: Reliability and life testing

Related Items

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

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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