Moderate deviations for parameter estimation in some time inhomogeneous diffusions

DOI10.1016/J.JSPI.2009.04.015MaRDI QIDQ2272122zbMATH OpenOpenAlexFDO

Authors Jiang Hui

Publication date 5 August 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.04.015

zbMATH Keywords

large deviationsmaximum likelihood estimator

Mathematics Subject Classification ID

Large deviations (60F10) Strong limit theorems (60F15) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• Large deviations for statistics of the Jacobi process
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Moderate deviations for squared radial Ornstein-Uhlenbeck process
• Moderate deviations for the maximum likelihood estimator
• Moderate deviations of minimum contrast estimators under contamination
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• On contiguity of probability measures corresponding to semimartingales
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process

Cited in

(14)

• Moderate deviations type evaluation for integral functionals of diffusion processes
• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
• Moderate deviations for estimators under exponentially stochastic differentiability conditions
• A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in -Wiener bridge process
• Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
• Deviation inequalities, moderate deviation principles for certain Gaussian functionals, and their applications in parameter estimation
• Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process
• Large and moderate deviations in testing time inhomogeneous diffusions
• Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications
• Moderate deviations for diffusion in time dependent random media
• Large deviations for parameter estimators of some time inhomogeneous diffusion process
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• An exponential non-uniform Berry-Esseen bound of some time inhomogeneous diffusion process

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