Sharp large deviations for the fractional Ornstein-Uhlenbeck process

DOI10.1137/S0040585X97985108MaRDI QIDQ2882298zbMATH OpenFDO

Authors Bernard Bercu, L. Coutin, Nicolas Savy

Publication date 4 May 2012

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.4491

zbMATH Keywords

Ornstein-Uhlenbeck processlarge deviationsfractional Brownian motion

Mathematics Subject Classification ID

Point estimation (62F10) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

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.

Recommendations

• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Precise large deviations for Ornstein-Uhlenbeck processes
• Large deviations for the Ornstein-Uhlenbeck process with shift
• scientific article; zbMATH DE number 5139015
• On fractional Ornstein-Uhlenbeck processes
• Large deviations for \(\ell ^ 2\)-valued Ornstein-Uhlenbeck processes
• Functional limit theorems for the fractional Ornstein-Uhlenbeck process
• Large deviations for the Ornstein-Uhlenbeck process without tears

Cited in

(43)

• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Large deviation principle for a mixed fractional and jump diffusion process
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
• Sharp large deviation for the energy of \(\alpha\)-Brownian bridge
• On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
• Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
• Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
• Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Parameter estimation for an Ornstein-Uhlenbeck process driven by a type of Gaussian noise with Hurst parameter \(H\in (0,\frac{1}{2})\)
• Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
• An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
• scientific article; zbMATH DE number 94048 (Why is no real title available?)
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system
• Calibrating fractional Vasicek model
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
• scientific article; zbMATH DE number 5139015 (Why is no real title available?)
• Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
• Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge
• On the exponentials of fractional Ornstein-Uhlenbeck processes
• Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
• Fractional interacting particle system: drift parameter estimation via Malliavin calculus
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• LAN property for stochastic differential equations with additive fractional noise and continuous time observation
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Controlled drift estimation in fractional diffusion linear systems
• Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
• An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

This page was built for publication: Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2882298)