Moderate Deviations for the Parameter Estimation in the Fractional Ornstein-Uhlenbeck Process with H ∈ (0,1/2)

被引：0

作者：

Jiang, Hui ^{[1
]}

Yang, Qing-shan ^{[2
]}

机构：

[1] Nanjing Univ Aeronaut & Astronaut, Sch Math, Nanjing 211106, Peoples R China

[2] Northeast Normal Univ, Sch Math & Stat, MOE Key Lab Appl Stat, Changchun 130024, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2024年

基金：

中国国家自然科学基金;

关键词：

Cramer-type moderate deviation; fractional Ornstein-Uhlenbeck process; parameter estimation; multiple Wiener-Ito integrals; ESTIMATING DRIFT PARAMETERS; LEAST-SQUARES ESTIMATOR; CENTRAL LIMIT-THEOREMS; PROCESS DRIVEN; INEQUALITIES; VOLATILITY; INTEGRALS;

D O I：

10.1007/s10255-024-1083-x

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study the asymptotic properties for estimators of two parameters in the drift function in the ergodic fractional Ornstein-Uhlenbeck process with Hurst index H is an element of (0,1/2). The Cramer-type moderate deviations, as well as the moderation deviations with explicit rate function can be obtained. The main methods consist of the deviation inequalities and Cramer-type moderate deviations for multiple Wiener-Ito integrals, as well as the asymptotic analysis techniques.

引用

页数：15

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