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

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

zbMATH Keywords

Ornstein-Uhlenbeck process; discrete observations; multiple Wiener-Itô integrals; moderate deviation principle

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60F10: Large deviations

62N02: Estimation in survival analysis and censored data

Related Items

Deviation properties for linear self-attracting diffusion process and applications, Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications, Maximum likelihood estimation for the reflected stochastic linear system with a large signal, Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes, Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process

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