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.
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页数：15
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