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Large deviations in estimation of an Ornstein-Uhlenbeck model

✍ Scribed by Danielle Florens-Landais; Huyên Pham

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
324 KB
Volume
324
Category
Article
ISSN
0764-4442

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✦ Synopsis

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 measure.

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Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process
✍ J.P.N. Bishwal; A. Bose 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 828 KB

## Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for two approximate maximum likelihood estimators of the drift parameter in the Ornstein-Uhlenbeck process are obtained when the process is observed at equally spaced dense time points. Also obtained