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arXiv · 1607.03601

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

Dmytro Marushkevych
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Abstract

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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Dmytro Marushkevych. 2016-07-13. Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process. https://doi.org/10.15559/16-vmsta54

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