Moderate Deviations for Parameter Estimation in the Fractional Ornstein-Uhlenbeck Processes with Periodic Mean

被引：36

作者：

Jiang, Hui ^{[1
]}

Li, Shi Min ^{[2
]}

Wang, Wei Gang ^{[3
]}

机构：

[1] Nanjing Univ Aeronaut & Astronaut, Sch Math, Nanjing 210016, Peoples R China

[2] Peoples Bank China, Operat Off, Nanjing Branch, Nanjing 210016, Peoples R China

[3] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Peoples R China

来源：

ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2024年 / 40卷 / 05期

关键词：

Cramer-type moderate deviation; fractional Ornstein-Uhlenbeck process; parameter estimation; multiple Wiener-Ito integrals; LEAST-SQUARES ESTIMATOR; CENTRAL LIMIT-THEOREMS; SHARP LARGE DEVIATIONS; PROCESS DRIVEN; INEQUALITIES; INTEGRALS;

D O I：

10.1007/s10114-023-2157-z

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 the drift parameter estimators in the fractional Ornstein-Uhlenbeck process with periodic mean function and long range dependence. The Cremer-type moderate deviations, as well as the moderation deviation principle with explicit rate function can be obtained.

引用

页码：1308 / 1324

页数：17

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