Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process
Probability
2016-07-14 v1
Abstract
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.
Keywords
Cite
@article{arxiv.1607.03601,
title = {Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process},
author = {Dmytro Marushkevych},
journal= {arXiv preprint arXiv:1607.03601},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.15559/16-VMSTA54 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)