Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein–Uhlenbeck process driven by mixed fractional Brownian motion.
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| Format: | Article |
| Language: | English |
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VTeX
2016-06-01
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| Series: | Modern Stochastics: Theory and Applications |
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| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA54 |