A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes

被引：1

作者：

Zhao, Shoujiang ^{[1
]}

Liu, Qiaojing ^{[2
]}

机构：

[1] China Three Gorges Univ, Sch Sci, Yichang 443002, Peoples R China

[2] Three Gorges Math Res Ctr, Yichang 443002, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2020年 / 162卷

基金：

中国国家自然科学基金;

关键词：

Large deviation principle; Maximum likelihood estimator; Ornstein-Uhlenbeck process; alpha-Brownian bridge;

D O I：

10.1016/j.spl.2020.108753

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 the large deviation principle for maximum likelihood estimator of some diffusion process. We overcome the difficulty of non-steepness and obtain large deviations in the case of non-Gaussian limit distribution by local large deviation principle and exponential tightness. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：8

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