Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process
arXiv:1607.03601 · doi:10.15559/16-VMSTA54
Abstract
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.
Published at http://dx.doi.org/10.15559/16-VMSTA54 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)