Large deviations for the Ornstein-Uhlenbeck process without tears

DOI10.1016/J.SPL.2016.11.030zbMATH Open1416.60045OpenAlexW2485323382MaRDI QIDQ511547FDOQ511547

Authors Bernard Bercu, Adrien Richou 

Publication date 21 February 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.11.030

zbMATH Keywords

Ornstein-Uhlenbeck processlarge deviationsmaximum likelihood estimates

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60)

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Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Affine diffusions and related processes: simulation, theory and applications
• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• Large deviations for statistics of the Jacobi process
• Large deviations for the Ornstein-Uhlenbeck process with shift
• Large deviations for the squared radial Ornstein-Uhlenbeck process
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Large deviations in testing Jacobi model
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Cited in

(21)

• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Large deviations of time-averaged statistics for Gaussian processes
• 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
• Principles of large deviations for the empirical processes of the Ornstein-Uhlenbeck process
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
• On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Self-normalized Cramér-type moderate deviations for explosive Vasicek model
• Deviation properties for linear self-attracting diffusion process and applications
• A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes
• Explicit bivariate rate functions for large deviations in AR(1) and MA(1) processes with Gaussian innovations
• Large deviations for squared radial Ornstein-Uhlenbeck processes.
• 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 with shift
• 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
• Precise large deviations for Ornstein-Uhlenbeck processes

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