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

DOI10.15559/18-VMSTA102zbMath1391.60100arXiv1806.03842MaRDI QIDQ1645196

Igor V. Orlovskyi, Alexander V. Ivanov

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 estimator; probabilities of large deviations; continuous-time nonlinear regression; jointly strictly sub-Gaussian noise

Mathematics Subject Classification ID

60G15: Gaussian processes

60G50: Sums of independent random variables; random walks

40A05: Convergence and divergence of series and sequences

65B10: Numerical summation of series

Related Items

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

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