Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
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Publication:2199706
Under discrete observations, the authors study Cramér-type moderate deviations (extended central limit theorem) for parameter estimation in Ornstein-Uhlenbeck processes \(\ dX_t = \theta X_t dt + dW_t\), \(X_0 = 0\), \(t\geq 0\). Their results contain both ergodic \(\theta<0\) and explosive \(\theta>0\) cases. For applications, they propose test statistics which can be used to construct rejection regions in the hypothesis testing for the drift coefficient, and the corresponding probability of type II error tends to zero exponentially. Simulation study shows that their test statistics have good finite-sample performances both in size and power. The main methods include the deviation inequalities for multiple Wiener-Itô integrals, as well as the asymptotic analysis techniques.
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(24)- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
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