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arXiv · 1806.03842

Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise

Alexander V. Ivanov·Igor V. Orlovskyi
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Abstract

A continuous-time regression model with a jointly strictly sub-Gaussian random noise is considered in the paper. Upper exponential bounds for probabilities of large deviations of the least squares estimator for the regression parameter are obtained.

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BibTeXRIS

Alexander V. Ivanov, Igor V. Orlovskyi. 2018-06-11. Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise. https://doi.org/10.15559/18-vmsta102

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