Moderate deviations for parameter estimation in some time inhomogeneous diffusions

被引：7

作者：

Hui, Jiang ^{[1
]}

机构：

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

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2009年 / 139卷 / 10期

基金：

中国国家自然科学基金;

关键词：

Large deviations; Moderate deviations; Inhomogeneous diffusion; Maximum likelihood estimator;

D O I：

10.1016/j.jspi.2009.04.015

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 Study moderate deviations for the maximum likelihood estimation of some inhomogeneous diffusions. The moderate deviation principle with explicit rate functions is obtained. Moreover, we apply our result to the parameter estimation in alpha-Wiener bridges. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：3665 / 3674

页数：10

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