IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v192y2023ics0167715222002036.html
   My bibliography  Save this article

Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein–Uhlenbeck processes

Author

Listed:
  • Cui, Jiazhen
  • Liu, Qiaojing

Abstract

We consider the Cramér-type moderate deviations for the log-likelihood ratio of the inhomogeneous Ornstein–Uhlenbeck processes in the stationary and explosive cases. The relative error of tail probability of the log-likelihood ratio is quantified by deviation inequalities for multiple Wiener–Itô integrals and mod-ϕ convergence approach. As the special cases, we get the Cramér-type moderate deviations of the Ornstein–Uhlenbeck process and α-Wiener bridge.

Suggested Citation

  • Cui, Jiazhen & Liu, Qiaojing, 2023. "Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 192(C).
    • Handle: RePEc:eee:stapro:v:192:y:2023:i:c:s0167715222002036
    DOI: 10.1016/j.spl.2022.109690
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715222002036
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2022.109690?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zhao, Shoujiang & Zhou, Qianqian, 2019. "On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    2. Fan, Xiequan & Grama, Ion & Liu, Quansheng & Shao, Qi-Man, 2020. "Self-normalized Cramér type moderate deviations for stationary sequences and applications," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5124-5148.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Doukhan, Paul & Fan, Xiequan & Gao, Zhi-Qiang, 2023. "Cramér moderate deviations for a supercritical Galton–Watson process," Statistics & Probability Letters, Elsevier, vol. 192(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:192:y:2023:i:c:s0167715222002036. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.