Large deviations for parameter estimators of -Brownian bridge

DOI10.1016/J.JSPI.2011.09.005MaRDI QIDQ651073zbMATHOpenAlexFDO

Authors Shoujiang Zhao, Qiaojing Liu

Publication date 8 December 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.09.005

Mathematics Subject Classification ID

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

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• Bias-correction of the maximum likelihood estimator for the -Brownian bridge
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Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large and moderate deviations in testing time inhomogeneous diffusions
• Large deviations for quadratic functionals of Gaussian processes
• Large deviations for statistics of the Jacobi process
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process

Cited in

(8)

• Large deviations for Brownian bridges with prescribed terminal densities
• Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge
• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
• Sharp large deviation for the energy of \(\alpha\)-Brownian bridge
• On the distribution of the maximum of brownian bridges with application to regression with correlated errors
• Large deviation expansion for maximum-likelihood estimator of α −Brownian bridge
• On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge
• Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge

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