Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations

DOI10.1214/20-EJS1738zbMATH Open1451.62108OpenAlexW3083145908MaRDI QIDQ2199706FDOQ2199706

Youzhou Zhou, Hui Liu, Hui Jiang

Publication date: 14 September 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1599271584

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zbMATH Keywords

Ornstein-Uhlenbeck processmoderate deviation principlediscrete observationsmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (12)

• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
• Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
• Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Deviation properties for linear self-attracting diffusion process and applications
• Maximum likelihood estimation for the reflected stochastic linear system with a large signal
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
• Ergodic estimators of double exponential Ornstein-Uhlenbeck processes

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