Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process

DOI10.15559/16-VMSTA54zbMATH Open1352.60041arXiv1607.03601MaRDI QIDQ340819FDOQ340819

Authors: Dmytro Marushkevych 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/1607.03601

zbMATH Keywords

large deviationsmaximum likelihood estimatormixed fractional Brownian motionmixed fractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Large deviations (60F10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (10)

• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
• Fractional processes and their statistical inference: an overview
• Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
• A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
• Title not available (Why is that?)
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations

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