Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process

DOI10.1080/17442508.2019.1637877zbMATH Open1490.62300OpenAlexW2959907409MaRDI QIDQ5086490FDOQ5086490

Authors: Hui Jiang, Ning Zhang 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1637877

Recommendations

• Cramer-type moderate deviations for a stationary Ornstein-Uhlenbeck process under discrete observations
• Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
• Deviation inequalities and Cramer-type moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck process of the second kind
• Moderate deviations for squared radial Ornstein-Uhlenbeck process
• Cramér type moderate deviation theorems for self-normalized processes
• Cramér-type moderate deviations for stationary sequences of bounded random variables
• Cramér type moderate deviations for random fields
• Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
• Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift

zbMATH Keywords

maximum likelihood estimatormoderate deviation principledeviation inequalitiesnon-stationary Ornstein-Uhlenbeck processmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• The Malliavin Calculus and Related Topics
• On large deviations in the Gaussian autoregressive process: Stable, unstable and explosive cases
• Title not available (Why is that?)
• 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 for the Ornstein-Uhlenbeck process with shift
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• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Tail behaviour of multiple random integrals and \(U\)-statistics
• Some comments concerning a curious singularity
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• Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• On a multivariate version of Bernstein's inequality
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• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
• Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
• Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
• Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift
• On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

Cited In (13)

• Cramer-type moderate deviations for a stationary Ornstein-Uhlenbeck process under discrete observations
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
• An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
• Deviation inequalities and Cramer-type moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck process of the second kind
• Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
• 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 deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• Maximum likelihood estimation for the reflected stochastic linear system with a large signal
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Moderate deviations for squared radial Ornstein-Uhlenbeck process
• Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

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