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文章基本信息

  • 标题:Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
  • 本地全文:下载
  • 作者:Gao, Fuqing ; Jiang, Hui
  • 期刊名称:Electronic Communications in Probability
  • 印刷版ISSN:1083-589X
  • 出版年度:2009
  • 卷号:14
  • 页码:210-223
  • DOI:10.1214/ECP.v14-1466
  • 出版社:Electronic Communications in Probability
  • 摘要: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.
  • 关键词:Deviation inequality;logarithmic Sobolev inequality;moderate deviations;Ornstein-Uhlenbeck process;60F12;62F12;62N02
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