Moderate Deviations for Drift Parameter Estimations in Reflected Ornstein-Uhlenbeck Process

被引：3
|
作者：
Jiang, Hui [1 ]
Yang, Qingshan [2 ]
机构：
[1] Nanjing Univ Aeronaut & Astronaut, Dept Math, Nanjing, Peoples R China
[2] Northeast Normal Univ, Sch Math & Stat, Changchun, Peoples R China
来源：
JOURNAL OF THEORETICAL PROBABILITY | 2022年 / 35卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Maximum likelihood estimator; Moderate deviation principle; Reflected Ornstein– Uhlenbeck process; Regenerative process;
D O I：
10.1007/s10959-021-01096-3
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：
In this paper, we study the asymptotic properties of drift parameter estimations in reflected Ornstein-Uhlenbeck process, and establish their moderate deviations in both cases with one-sided barrier and two-sided barriers. The main methods consist of regenerative process techniques and the strong Markov property, as well as moderate deviations for martingales.
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页码：1262 / 1283
页数：22
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