Self-Normalized Cramer-Type Moderate Deviations for Explosive Vasicek Model

被引：0
|
作者：
Jiang, Hui [1 ]
Pan, Yajuan [1 ]
Wei, Xiao [2 ,3 ]
机构：
[1] Nanjing Univ Aeronaut & Astronaut, Sch Math, Nanjing, Peoples R China
[2] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing, Peoples R China
[3] Cent Univ Finance & Econ, Sch Insurance, Beijing, Peoples R China
来源：
JOURNAL OF THEORETICAL PROBABILITY | 2024年 / 37卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Cramer-type moderate deviation; Deviation inequalities; Explosive Vasicek model; Multiple Wiener-Ito integrals; Self-normalized; ORNSTEIN-UHLENBECK PROCESS; BERRY-ESSEEN BOUNDS; SHARP LARGE DEVIATIONS; PARAMETER-ESTIMATION; (CO-)VOLATILITY VECTOR; LONG-MEMORY; ESTIMATOR; INEQUALITIES;
D O I：
10.1007/s10959-023-01264-7
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
By deviation inequalities for multiple Wiener-Ito integrals, we study the deviation inequalities for some quadratic functionals in the explosive Vasicek model. Then, self-normalized Cramer-type moderate deviations and joint moderate deviations for the maximum likelihood estimators are obtained via asymptotic analysis techniques.
引用
收藏
页码：228 / 250
页数：23
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