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most citedLarge deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process

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math.PR2016★ 12 cited

Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process

Dmytro Marushkevych

We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.