Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift

DOI10.1080/17442508.2015.1066378MaRDI QIDQ2804549zbMATH OpenOpenAlexFDO

Authors Chen Xie, Hui Jiang

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

zbMATH Keywords

Ornstein-Uhlenbeck processmoderate deviationstrajectory fitting estimatorsmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

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

Cites work

• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• Asymptotic behaviour of trajectory fitting estimators for certain non-ergodic SDE
• Berry-esseen bound for the kaplan-meier estimator
• Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
• Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
• Examples of moderate deviation principle for diffusion processes
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Moderate deviations for parameter estimators in fractional Ornstein-Uhlenbeck process
• On Strassen's version of the law of the iterated logarithm for Gaussian processes
• On a multivariate version of Bernstein's inequality
• Precise asymptotics in the Baum-Katz and Davis laws of large numbers
• Precise asymptotics in the law of the iterated logarithm.
• Precise asymptotics in the self-normalized law of the iterated logarithm
• Precise rates in the law of logarithm for i.i.d. random variables
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Tail behaviour of multiple random integrals and \(U\)-statistics
• The Malliavin Calculus and Related Topics

Cited in

(10)

• 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
• The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process
• 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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