Large deviations for the Ornstein-Uhlenbeck process without tears
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Publication:511547
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
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Cites Work
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- Large deviations for the Ornstein-Uhlenbeck process with shift
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process
Cited In (19)
- 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
- 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
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
- 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
- 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
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