Deviation probability bound for martingales with applications to statistical estimation

R. Liptser and Vladimir G. Spokoiny

No 1999,85, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Keywords: autoregression; martingale; deviation probability; maximum likelihood estimate; linear diffusion (search for similar items in EconPapers)
Date: 1999
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