Abstract
In this paper, we study explicitly the deviation properties, including the deviation inequalities and Cramér-type moderate deviations, for some quadratic functionals of linear self-attracting diffusion process. As applications, Cramér-type moderate deviations for the log-likelihood ratio process and drift parameter estimator are obtained. The main methods consist of the deviation inequalities and Cramér-type moderate deviations for multiple Wiener–Itô integrals, as well as the asymptotic analysis techniques.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
