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

DOI10.1080/17442508.2019.1637877MaRDI QIDQ5086490zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
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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
• Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
• Self-normalized Cramér-type moderate deviations for explosive Vasicek model
• 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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