Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators

Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators

We study deviation inequalities for some quadratic Wiener functionals and moderate deviations for parameter estimators in a linear stochastic differential equation model.Firstly,we give some estimates for Laplace integrals of the quadratic Wiener functionals by calculating the eigenvalues of the ass...

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Veröffentlicht in:Science China. Mathematics 2017-07, Vol.60 (7), p.1181-1196
Hauptverfasser: Gao, FuQing, Jiang, Hui
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Deviation
Differential equations
Eigenvalues
Estimates
Estimators
Functionals
Inequalities
Integrals
Mathematics
Mathematics and Statistics
Operators (mathematics)
Probability theory
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Zusammenfassung:We study deviation inequalities for some quadratic Wiener functionals and moderate deviations for parameter estimators in a linear stochastic differential equation model.Firstly,we give some estimates for Laplace integrals of the quadratic Wiener functionals by calculating the eigenvalues of the associated HilbertSchmidt operators.Then applying the estimates,we establish deviation inequalities for the quadratic functionals and moderate deviation principles for the parameter estimators.
ISSN:1674-7283
1869-1862
DOI:10.1007/s11425-016-0017-6