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Large deviations and estimation in infinite-dimensional models

โœ Scribed by W.J Hall; Wei-Min Huang

Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
492 KB
Volume
6
Category
Article
ISSN
0167-7152

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๐Ÿ“œ SIMILAR VOLUMES

Large deviations in estimation of an Orn
Large deviations in estimation of an Ornstein-Uhlenbeck model
โœ Danielle Florens-Landais; Huyรชn Pham ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 324 KB

A large deviation principle (LDP) with an explicit rate function is proved for the parametric estimation of the Omstein-Uhlenbeck process. We establish a LDP for the quadratic variation of the diffusion process and for the score function by applying the method of parameter-dependent change of measur