Sharp large deviations for the Ornstein-Uhlenbeck process

被引：0

作者：

Bercu, B

Rouault, A

机构：

[1] Univ Paris 11, Stat Lab, F-91405 Orsay, France

[2] Univ Versailles, Dept Math, F-78035 Versailles, France

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2001年 / 46卷 / 01期

关键词：

large deviations; Ornstein-Uhlenbeck process; likelihood estimation;

D O I：

暂无

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：

We establish sharp large deviation principles for well-known random variables associated with the Ornstein-Uhlenbeck process, such as the energy, the maximum likelihood estimator of the drift parameter, and the log-likelihood ratio.

引用

页码：1 / 19

页数：19

共 24 条

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