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

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