Mostrar el registro sencillo del ítem

Large deviations for the Ornstein-Uhlenbeck process with shift

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorBERCU, Bernard
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorRICHOU, Adrien
dc.date.accessioned2024-04-04T03:20:44Z
dc.date.available2024-04-04T03:20:44Z
dc.date.issued2015-09-01
dc.identifier.issn0001-8678
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/194611
dc.description.abstractEnWe investigate the large deviation properties of the maximum likelihood estimators for the Ornstein-Uhlenbeck process with shift. We estimate simultaneously the drift and shift parameters. On the one hand, we establish a large deviation principle for the maximum likelihood estimates of the drift and shift parameters. Surprisingly, we find that the drift estimator shares the same large deviation principle as the one previously established for the Ornstein-Uhlenbeck process without shift. Sharp large deviation principles are also provided. On the other hand, we show that the maximum likelihood estimator of the shift parameter satisfies a large deviation principle with a very unusual implicit rate function.
dc.language.isoen
dc.publisherApplied Probability Trust
dc.title.enLarge deviations for the Ornstein-Uhlenbeck process with shift
dc.typeArticle de revue
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalAdvances in Applied Probability
bordeaux.page1--22
bordeaux.volume47
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.issue3
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-00915936
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00915936v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Advances%20in%20Applied%20Probability&rft.date=2015-09-01&rft.volume=47&rft.issue=3&rft.spage=1--22&rft.epage=1--22&rft.eissn=0001-8678&rft.issn=0001-8678&rft.au=BERCU,%20Bernard&RICHOU,%20Adrien&rft.genre=article


Archivos en el ítem

ArchivosTamañoFormatoVer

No hay archivos asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem