Large deviation expansion for maximum-likelihood estimator of α-Brownian bridge

被引：2

作者：

Zhao, Shoujiang ^{[1
]}

Chen, Ting ^{[1
]}

机构：

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

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 15期

关键词：

alpha-Brownian bridge; large deviation expansion; maximum-likelihood estimator; TIME INHOMOGENEOUS DIFFUSIONS; ORNSTEIN-UHLENBECK PROCESS; SHARP LARGE DEVIATIONS;

D O I：

10.1080/03610926.2016.1148734

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 studied the large deviation expansion for maximum-likelihood estimator of alpha-Brownian bridge by using change of measure and time-varying change of probability. The full expansion provided a useful tool to approximate the tail probability of maximum-likelihood estimator.

引用

页码：7313 / 7326

页数：14

共 17 条

[1]

[Anonymous], 2002, ESAIM PROBAB STAT, DOI DOI 10.1051/PS:2000101

[2] ON DEVIATIONS OF THE SAMPLE-MEAN [J].

BAHADUR, RR ;

RAO, RR .

ANNALS OF MATHEMATICAL STATISTICS, 1960, 31 (04) :1015-1027

[3] Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions [J].

Barczy, M. ;

Pap, G. .

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2011, 380 (02) :405-424

[4] Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes [J].

Barczy, M. ;

Pap, G. .

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2010, 140 (06) :1576-1593

[5] Karhunen-Loeve expansions of α-Wiener bridges [J].

Barczy, Matyas ;

Igloi, Endre .

CENTRAL EUROPEAN JOURNAL OF MATHEMATICS, 2011, 9 (01) :65-84

[6] SHARP LARGE DEVIATIONS FOR THE FRACTIONAL ORNSTEIN-UHLENBECK PROCESS [J].

Bercu, B. ;

Coutin, L. ;

Savy, N. .

THEORY OF PROBABILITY AND ITS APPLICATIONS, 2011, 55 (04) :575-610

[7]

Bercu B, 2001, THEOR PROBAB APPL+, V46, P1

[8] Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process [J].

Bercu, Bernard ;

Coutin, Laure ;

Savy, Nicolas .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2012, 122 (10) :3393-3424

[9] ARBITRAGE IN STOCK INDEX FUTURES [J].

BRENNAN, MJ ;

SCHWARTZ, ES .

JOURNAL OF BUSINESS, 1990, 63 (01) :S7-S31

[10]

Gogens M., 2014, STAT PROBABIL LETT, V93, P78

← 1 2 →