Articles

MODERATE DEVIATIONS FOR PARAMETER ESTIMATORS IN FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

  • GAO Fu-Qing ,
  • JIANG Hui ,
  • WANG Bao-Bin
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  • 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 date: 2007-12-18

  Revised date: 2008-10-06

  Online 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.

Cite this article

GAO Fu-Qing , JIANG Hui , WANG Bao-Bin . MODERATE DEVIATIONS FOR PARAMETER ESTIMATORS IN FRACTIONAL ORNSTEIN-UHLENBECK PROCESS[J]. Acta mathematica scientia, Series B, 2010 , 30(4) : 1125 -1133 . DOI: 10.1016/S0252-9602(10)60110-5

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