Abstract
Some deviation inequalities and moderate deviation principles for the maximum likelihood estimators of parameters in an Ornstein-Uhlenbeck process with linear drift are established by the logarithmic Sobolev inequality and the exponential martingale method.
Citation
Fuqing Gao. Hui Jiang. "Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift." Electron. Commun. Probab. 14 210 - 223, 2009. https://doi.org/10.1214/ECP.v14-1466
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