Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift
DOI10.1080/17442508.2015.1066378zbMATH Open1335.62151OpenAlexW2337129334MaRDI QIDQ2804549FDOQ2804549
Publication date: 4 May 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2015.1066378
Recommendations
- Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
- The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
Ornstein-Uhlenbeck processmoderate deviationstrajectory fitting estimatorsmultiple Wiener-Itô integrals
Estimation in survival analysis and censored data (62N02) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)
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Cited In (9)
- On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
- Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE
- Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
- Trajectory fitting estimation for reflected stochastic linear differential equations of a large signal
- Maximum likelihood estimation for the reflected stochastic linear system with a large signal
- Modified trajectory fitting estimators for multi-regime threshold Ornstein-Uhlenbeck processes
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
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