Sharp large deviations for the fractional Ornstein-Uhlenbeck process
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Publication:2882298
DOI10.1137/S0040585X97985108zbMATH Open1252.60026arXiv0810.4491MaRDI QIDQ2882298FDOQ2882298
Nicolas Savy, Bernard Bercu, L. Coutin
Publication date: 4 May 2012
Published in: Theory of Probability and its Applications (Search for Journal in Brave)
Abstract: We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.
Full work available at URL: https://arxiv.org/abs/0810.4491
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Point estimation (62F10) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)
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