BERCU, Bernard; RICHOU, Adrien

doi:10.1016/j.spl.2016.11.030

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BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]

RICHOU, Adrien
Institut de Mathématiques de Bordeaux [IMB]

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Statistics and Probability Letters. 2017, vol. 123

Elsevier

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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.< Leer menos

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Ornstein-Uhlenbeck process

Maximum likelihood estimates

Large deviations

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

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