Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
From MaRDI portal
Publication:2199706
DOI10.1214/20-EJS1738zbMath1451.62108MaRDI QIDQ2199706
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
Ornstein-Uhlenbeck process; discrete observations; multiple Wiener-Itô integrals; moderate deviation principle
60G22: Fractional processes, including fractional Brownian motion
60F10: Large deviations
62N02: Estimation in survival analysis and censored data
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