✦ LIBER ✦

On large deviations in testing Ornstein–Uhlenbeck-type models

✍ Scribed by Pavel V. Gapeev; Uwe Küchler

Book ID: 106530698
Publisher: Springer Netherlands
Year: 2007
Tongue: English
Weight: 217 KB
Volume: 11
Category: Article
ISSN: 1387-0874
DOI: 10.1007/s11203-007-9012-1

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Large deviations in estimation of an Orn

Large deviations in estimation of an Ornstein-Uhlenbeck model

✍ Danielle Florens-Landais; Huyên Pham 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 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

Testing for Mean Reversion in Processes

Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type

✍ A. Szimayer; R. Maller 📂 Article 📅 2004 🏛 Springer Netherlands 🌐 English ⚖ 142 KB

Option Pricing in Stochastic Volatility

Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type

✍ Elisa Nicolato; Emmanouil Venardos 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 190 KB

Large deviations and moderate deviations

Large deviations and moderate deviations for the chi-square test in type II error

✍ Hui Jiang; Fuqing Gao 📂 Article 📅 2008 🏛 Wuhan University 🌐 English ⚖ 228 KB

An Almost-Markov-Type Mixing Condition a

An Almost-Markov-Type Mixing Condition and Large Deviations for Boolean Models on the Line

✍ Lothar Heinrich 📂 Article 📅 2007 🏛 Springer Netherlands 🌐 English ⚖ 452 KB

On large deviations in testing simple hy

On large deviations in testing simple hypotheses for locally stationary Gaussian processes

✍ Inder Tecuapetla-Gómez, Michael Nussbaum 📂 Article 📅 2012 🏛 Springer Netherlands 🌐 English ⚖ 241 KB