Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift

Fuqing Gao (Wuhan University)
Hui Jiang (Nanjing University of Aeronautics)

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.

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Pages: 210-223

Publication Date: May 24, 2009

DOI: 10.1214/ECP.v14-1466

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