分式奥恩斯坦-乌伦贝克过程中参数估计的适度偏差与 $$H \ in (0,{1\over 2})$$

Pub Date : 2024-04-19 DOI:10.1007/s10255-024-1083-x

Hui Jiang, Qing-shan Yang

{"title":"分式奥恩斯坦-乌伦贝克过程中参数估计的适度偏差与 $$H \\ in (0,{1\\over 2})$$","authors":"Hui Jiang, Qing-shan Yang","doi":"10.1007/s10255-024-1083-x","DOIUrl":null,"url":null,"abstract":"In this paper, we study the asymptotic properties for estimators of two parameters in the drift function in the ergodic fractional Ornstein-Uhlenbeck process with Hurst index \$H \\in (0,{1 \\over 2})\$. The Cramér-type moderate deviations, as well as the moderation deviations with explicit rate function can be obtained. The main methods consist of the deviation inequalities and Cramér-type moderate deviations for multiple Wiener-Itô integrals, as well as the asymptotic analysis techniques.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Moderate Deviations for the Parameter Estimation in the Fractional Ornstein-Uhlenbeck Process with $$H \\\\in (0,{1 \\\\over 2})$$\",\"authors\":\"Hui Jiang, Qing-shan Yang\",\"doi\":\"10.1007/s10255-024-1083-x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we study the asymptotic properties for estimators of two parameters in the drift function in the ergodic fractional Ornstein-Uhlenbeck process with Hurst index \\\$H \\\\in (0,{1 \\\\over 2})\\\$. The Cramér-type moderate deviations, as well as the moderation deviations with explicit rate function can be obtained. The main methods consist of the deviation inequalities and Cramér-type moderate deviations for multiple Wiener-Itô integrals, as well as the asymptotic analysis techniques.\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2024-04-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1007/s10255-024-1083-x\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s10255-024-1083-x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了具有赫斯特指数（H \in (0,{1 \over 2})\）的遍历分数奥恩斯坦-乌伦贝克过程中漂移函数中两个参数的估计值的渐近性质。可以得到克拉梅尔型温和偏差以及具有明确速率函数的温和偏差。主要方法包括多重维纳-伊托积分的偏差不等式和克拉梅尔型温和偏差，以及渐近分析技术。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

Moderate Deviations for the Parameter Estimation in the Fractional Ornstein-Uhlenbeck Process with $$H \in (0,{1 \over 2})$$

In this paper, we study the asymptotic properties for estimators of two parameters in the drift function in the ergodic fractional Ornstein-Uhlenbeck process with Hurst index $H \in (0,{1 \over 2})$. The Cramér-type moderate deviations, as well as the moderation deviations with explicit rate function can be obtained. The main methods consist of the deviation inequalities and Cramér-type moderate deviations for multiple Wiener-Itô integrals, as well as the asymptotic analysis techniques.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助