Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
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Publication:449228
DOI10.1016/J.SPA.2012.06.006zbMATH Open1316.60035arXiv1111.6086OpenAlexW2104981079MaRDI QIDQ449228FDOQ449228
Nicolas Savy, Bernard Bercu, L. Coutin
Publication date: 12 September 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding of this trichotomy, we investigate sharp large deviation principles for this estimator in the three situations. In the explosive case, we exhibit a very unusual rate function with a shaped flat valley and an abrupt discontinuity point at its minimum.
Full work available at URL: https://arxiv.org/abs/1111.6086
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Cited In (18)
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
- Sharp large deviation for the energy of \(\alpha\)-Brownian bridge
- On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
- An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
- Sharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross Process
- 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
- Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Self-normalized Cramér-type moderate deviations for explosive Vasicek model
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Sharp large deviations for the fractional Ornstein-Uhlenbeck process
- Large deviations for the Ornstein-Uhlenbeck process without tears
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
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