Large deviations for the Ornstein–Uhlenbeck process without tears

Our goal is to establish large deviations for the maximum likelihood estimator of the drift parameter of the Ornstein–Uhlenbeck process without tears. We propose a new strategy to establish large deviation results which allows us, via a suitable transformation, to circumvent the classical difficulty...

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Veröffentlicht in:	Statistics & probability letters 2017-04, Vol.123, p.45-55
Hauptverfasser:	Bercu, Bernard, Richou, Adrien
Format:	Artikel
Sprache:	eng
Schlagworte:	Large deviations Mathematics Maximum likelihood estimates Ornstein–Uhlenbeck process Probability
Online-Zugang:	Volltext
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