Deviation inequalities, moderate deviation principles for certain Gaussian functionals, and their applications in parameter estimation

DOI10.1080/07362994.2017.1292855zbMATH Open1374.60034OpenAlexW2602095124MaRDI QIDQ5355178FDOQ5355178

Hui Jiang, Shaochen Wang, Shimin Li

Publication date: 6 September 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2017.1292855

zbMATH Keywords

Ornstein-Uhlenbeck processmoderate deviation principleminimum distance estimatordeviation inequalitiesmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic integrals (60H05)

Cited In (2)

• Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals
• Functional moderate deviations for triangular arrays and applications

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