LARGE DEVIATIONS AND CONCENTRATION INEQUALITIES FOR THE ORNSTEIN-UHLENBECK PROCESS WITHOUT TEARS
Langue
en
Article de revue
Ce document a été publié dans
Statistics and Probability Letters. 2017, vol. 123
Elsevier
Résumé en anglais
Our goal is to establish large deviations and concentration inequalities for the maximum likelihood estimator of the drift parameter of the Ornstein-Uhlenbeck process without tears. We propose a new strategy to establish ...Lire la suite >
Our goal is to establish large deviations and concentration inequalities for the maximum likelihood estimator of the drift parameter of the Ornstein-Uhlenbeck process without tears. We propose a new strategy to establish large deviation results which allows us, via a suitable transformation, to circumvent the classical difficulty of non-steepness. Our approach holds in the stable case where the process is positive recurrent as well as in the unstable and explosive cases where the process is respectively null recurrent and transient. Notwithstanding of this trichotomy, we also provide new concentration inequalities for the maximum likelihood estimator.< Réduire
Mots clés en anglais
Ornstein-Uhlenbeck process
Maximum likelihood estimates
Large deviations
Origine
Importé de halUnités de recherche