IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v155y2019ic4.html
   My bibliography  Save this article

On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein–Uhlenbeck processes

Author

Listed:
  • Zhao, Shoujiang
  • Zhou, Qianqian

Abstract

We consider the full expansion of the tail probability for log-likelihood ratio of some diffusion process by using change of measure. As special cases, we get the large deviation expansion of Ornstein–Uhlenbeck process and α-Wiener bridge.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:155:y:2019:i:c:4
    DOI: 10.1016/j.spl.2019.108560
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715219302068
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2019.108560?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. Bercu, Bernard & Coutin, Laure & Savy, Nicolas, 2012. "Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3393-3424.
    2. Zhao, Shoujiang & Zhou, Yanping, 2013. "Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2750-2758.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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).

    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. Hui Jiang & Jingying Zhou, 2023. "An Exponential Nonuniform Berry–Esseen Bound for the Fractional Ornstein–Uhlenbeck Process," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1037-1058, June.
    2. Görgens, Maik & Thulin, Måns, 2014. "Bias-correction of the maximum likelihood estimator for the α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 78-86.
    3. Bercu, Bernard & Richou, Adrien, 2017. "Large deviations for the Ornstein–Uhlenbeck process without tears," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 45-55.
    4. Zhao, Shoujiang & Zhou, Yanping, 2013. "Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2750-2758.
    5. Katsuto Tanaka, 2015. "Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 315-332, October.
    6. Hui Jiang & Xing Dong, 2015. "Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift," Statistical Papers, Springer, vol. 56(1), pages 257-268, February.
    7. Zhao, Shoujiang & Liu, Qiaojing & Chen, Ting, 2018. "On the large deviation principle for maximum likelihood estimator of α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 143-150.
    8. Hui Jiang & Qingshan Yang, 2022. "Moderate Deviations for Drift Parameter Estimations in Reflected Ornstein–Uhlenbeck Process," Journal of Theoretical Probability, Springer, vol. 35(2), pages 1262-1283, June.

    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:155:y:2019:i:c:4. 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.