LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2012

For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of t...

Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Bishwal, J. P. N.
Bose, A.

July 2001

Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for ...

Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Bishwal, J. P. N.
Bose, A.

July 2001

Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for ...

Large deviations for the Ornstein-Uhlenbeck process with shift

BERCU, Bernard
RICHOU, Adrien

September 2015

We investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bercu, Bernard
Coutin, Laure
Savy, Nicolas

January 2011

International audienceWe investigate the sharp large deviation properties of the energy and the maxi...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bercu, Bernard
Coutin, Laure
Savy, Nicolas

January 2011

International audienceWe investigate the sharp large deviation properties of the energy and the maxi...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bercu, Bernard
Coutin, Laure
Savy, Nicolas

January 2011

International audienceWe investigate the sharp large deviation properties of the energy and the maxi...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2011

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimat...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2011

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimat...

Large deviations for the Ornstein-Uhlenbeck process with shift

BERCU, Bernard
RICHOU, Adrien

January 2014

We investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-...

Large deviations for the squared radial Ornstein-Uhlenbeck process

DU ROY DE CHAUMARAY, Marie

January 2016

We establish large deviation principles for the couple of the maximum likelihood estimators of dimen...

large deviations for the Ornstein-Uhlenbeck process

Bernard Bercu
Adrien Richou

August 2016

Abstract. We investigate the large deviation properties of the maximum likeli-hood estimators for th...

Large deviations in estimation of an Ornstein-Uhlenbeck model

Pham, Huyen
Florens, Danielle

January 1999

A large deviation principle (LDP) with an explicit rate function is proved for the estimation of dri...

LARGE DEVIATIONS AND CONCENTRATION INEQUALITIES FOR THE ORNSTEIN-UHLENBECK PROCESS WITHOUT TEARS

BERCU, Bernard
RICHOU, Adrien

January 2017

Our goal is to establish large deviations and concentration inequalities for the maximum likelihood ...

Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2012

For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of t...

Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2012

For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of t...

Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Bishwal, J. P. N.
Bose, A.

July 2001

Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for ...

Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Bishwal, J. P. N.
Bose, A.

July 2001

Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for ...

Large deviations for the Ornstein-Uhlenbeck process with shift

BERCU, Bernard
RICHOU, Adrien

September 2015

We investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bercu, Bernard
Coutin, Laure
Savy, Nicolas

January 2011

International audienceWe investigate the sharp large deviation properties of the energy and the maxi...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bercu, Bernard
Coutin, Laure
Savy, Nicolas

January 2011

International audienceWe investigate the sharp large deviation properties of the energy and the maxi...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

Bercu, Bernard
Coutin, Laure
Savy, Nicolas

January 2011

International audienceWe investigate the sharp large deviation properties of the energy and the maxi...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2011

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimat...

Sharp large deviations for the fractional Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2011

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimat...

Large deviations for the Ornstein-Uhlenbeck process with shift

BERCU, Bernard
RICHOU, Adrien

January 2014

We investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-...

Large deviations for the squared radial Ornstein-Uhlenbeck process

DU ROY DE CHAUMARAY, Marie

January 2016

We establish large deviation principles for the couple of the maximum likelihood estimators of dimen...

large deviations for the Ornstein-Uhlenbeck process

Bernard Bercu
Adrien Richou

August 2016

Abstract. We investigate the large deviation properties of the maximum likeli-hood estimators for th...

Large deviations in estimation of an Ornstein-Uhlenbeck model

Pham, Huyen
Florens, Danielle

January 1999

A large deviation principle (LDP) with an explicit rate function is proved for the estimation of dri...

LARGE DEVIATIONS AND CONCENTRATION INEQUALITIES FOR THE ORNSTEIN-UHLENBECK PROCESS WITHOUT TEARS

BERCU, Bernard
RICHOU, Adrien

January 2017

Our goal is to establish large deviations and concentration inequalities for the maximum likelihood ...

Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2012

For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of t...

Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

BERCU, Bernard
COUTIN, Laure
SAVY, Nicolas

January 2012

For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of t...

Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Bishwal, J. P. N.
Bose, A.

July 2001

Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for ...

Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

Bishwal, J. P. N.
Bose, A.

July 2001

Berry-Esseen bounds, with random and nonrandom normings, and large deviation probability bounds for ...

LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

Abstract

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LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

Abstract

Extracted data

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