A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein–Uhlenbeck processes

Shoujiang Zhao and Qiaojing Liu

Statistics & Probability Letters, 2020, vol. 162, issue C

Abstract: We establish the large deviation principle for maximum likelihood estimator of some diffusion process. We overcome the difficulty of non-steepness and obtain large deviations in the case of non-Gaussian limit distribution by local large deviation principle and exponential tightness.

Keywords: Large deviation principle; Maximum likelihood estimator; Ornstein–Uhlenbeck process; α-Brownian bridge (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108753

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