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

页码：228 / 250

页数：23