Large deviations in estimation of an Ornstein-Uhlenbeck model
1999 ◽
Vol 36
(01)
◽
pp. 60-77
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Keyword(s):
A large deviation principle (LDP) with an explicit rate function is proved for the estimation of drift parameter of the Ornstein-Uhlenbeck process. We establish an LDP for two estimating functions, one of them being the score function. The first one is derived by applying the Gärtner–Ellis theorem. But this theorem is not suitable for the LDP on the score function and we circumvent this key point by using a parameter-dependent change of measure. We then state large deviation principles for the maximum likelihood estimator and another consistent drift estimator.
1999 ◽
Vol 36
(1)
◽
pp. 60-77
◽
2015 ◽
Vol 47
(03)
◽
pp. 880-901
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2015 ◽
Vol 47
(3)
◽
pp. 880-901
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1996 ◽
Vol 33
(03)
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pp. 840-857
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2013 ◽
Vol 83
(3)
◽
pp. 735-743
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Keyword(s):
1998 ◽
Vol 12
(4)
◽
pp. 479-507
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2013 ◽
Vol 57
(1)
◽
pp. 1-27
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Keyword(s):
2014 ◽
Vol 43
(6)
◽
pp. 1077-1098
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