Acta mathematica scientia,Series B ›› 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

 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)

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

CLC Number: 

  • 62F12
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