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2009 Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
Fuqing Gao, Hui Jiang
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Electron. Commun. Probab. 14: 210-223 (2009). DOI: 10.1214/ECP.v14-1466

Abstract

Some deviation inequalities and moderate deviation principles for the maximum likelihood estimators of parameters in an Ornstein-Uhlenbeck process with linear drift are established by the logarithmic Sobolev inequality and the exponential martingale method.

Citation

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Fuqing Gao. Hui Jiang. "Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift." Electron. Commun. Probab. 14 210 - 223, 2009. https://doi.org/10.1214/ECP.v14-1466

Information

Accepted: 24 May 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60058
MathSciNet: MR2507750
Digital Object Identifier: 10.1214/ECP.v14-1466

Subjects:
Primary: 60F12
Secondary: 62F12, 62N02

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