Large deviations for parameter estimators of some time inhomogeneous diffusion process

DOI10.1007/S10114-011-8626-9zbMATH Open1225.62117OpenAlexW1997670231MaRDI QIDQ644655FDOQ644655

Authors: Shoujiang Zhao, Fuqing Gao 

Publication date: 4 November 2011

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-011-8626-9

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Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

Cites Work

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• Title not available (Why is that?)
• Large deviations for statistics of the Jacobi process
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Large deviations for quadratic functionals of Gaussian processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Estimations of parametric functions under a system of linear regression equations with correlated errors

Cited In (7)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Large deviations for the Pearson family of ergodic diffusion processes involving a quadratic diffusion coefficient and a linear force
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes
• Large-deviation inequalities for parameter estimators in stochastic systems
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean

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