LARGE DEVIATIONS AND CONCENTRATION INEQUALITIES FOR THE ORNSTEIN-UHLENBECK PROCESS WITHOUT TEARS
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | BERCU, Bernard | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | RICHOU, Adrien | |
| dc.date.accessioned | 2024-04-04T03:15:33Z | |
| dc.date.available | 2024-04-04T03:15:33Z | |
| dc.date.issued | 2017 | |
| dc.identifier.issn | 0167-7152 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194150 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.subject.en | Ornstein-Uhlenbeck process | |
| dc.subject.en | Maximum likelihood estimates | |
| dc.subject.en | Large deviations | |
| dc.title.en | LARGE DEVIATIONS AND CONCENTRATION INEQUALITIES FOR THE ORNSTEIN-UHLENBECK PROCESS WITHOUT TEARS | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.spl.2016.11.030 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Statistics and Probability Letters | |
| bordeaux.volume | 123 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01270164 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01270164v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Statistics%20and%20Probability%20Letters&rft.date=2017&rft.volume=123&rft.eissn=0167-7152&rft.issn=0167-7152&rft.au=BERCU,%20Bernard&RICHOU,%20Adrien&rft.genre=article |
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