On the large deviation principle for maximum likelihood estimator of α-Brownian bridge

Shoujiang Zhao, Qiaojing Liu and Ting Chen

Statistics & Probability Letters, 2018, vol. 138, issue C, 143-150

Abstract: We consider the large deviation principle for maximum likelihood estimator of α-Brownian bridge. The full large deviation with explicit rate function is obtained in the case of non-Gaussian limit distribution by local large deviation principle and exponential tightness.

Keywords: Large deviation principle; Maximum likelihood estimator; α-Brownian bridge (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.03.001

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