数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (4): 1125-1133.doi: 10.1016/S0252-9602(10)60110-5

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MODERATE DEVIATIONS FOR PARAMETER ESTIMATORS IN FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

 高付清1, 蒋辉1, 汪宝彬2   

  1. 1. School of Mathematics and Statistics, Wuhan University, |Wuhan 430072, China|2. Wuhan Institute of Physics and Mathematics, Chinese Academy of Sciences, Wuhan 430071, China
  • 收稿日期:2007-12-18 修回日期:2008-10-06 出版日期:2010-07-20 发布日期:2010-07-20
  • 基金资助:

    Research supported by the National Natural Science Foundation of China (10571139)

MODERATE DEVIATIONS FOR PARAMETER ESTIMATORS IN FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

 GAO Fu-Qing1, JIANG Hui1, WANG Bao-Bin2   

  1. 1. School of Mathematics and Statistics, Wuhan University, |Wuhan 430072, China|2. Wuhan Institute of Physics and Mathematics, Chinese Academy of Sciences, Wuhan 430071, China
  • Received:2007-12-18 Revised:2008-10-06 Online:2010-07-20 Published:2010-07-20
  • Supported by:

    Research supported by the National Natural Science Foundation of China (10571139)

摘要:

We study moderate deviations for estimators of the drift parameter of the fractional Ornstein-Uhlenbeck process.  Two moderate deviation principles are obtained.

关键词: Large deviations, moderate deviations, Ornstein-Uhlenbeck process

Abstract:

We study moderate deviations for estimators of the drift parameter of the fractional Ornstein-Uhlenbeck process.  Two moderate deviation principles are obtained.

Key words: Large deviations, moderate deviations, Ornstein-Uhlenbeck process

中图分类号: 

  • 62F12