Self-Normalized Cramér-Type Moderate Deviations for Explosive Vasicek Model

Hui Jiang (), Yajuan Pan () and Xiao Wei ()
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Hui Jiang: Nanjing University of Aeronautics and Astronautics
Yajuan Pan: Nanjing University of Aeronautics and Astronautics
Xiao Wei: Central University of Finance and Economics

Journal of Theoretical Probability, 2024, vol. 37, issue 1, 228-250

Abstract: Abstract By deviation inequalities for multiple Wiener–Itô integrals, we study the deviation inequalities for some quadratic functionals in the explosive Vasicek model. Then, self-normalized Cramér-type moderate deviations and joint moderate deviations for the maximum likelihood estimators are obtained via asymptotic analysis techniques.

Keywords: Cramér-type moderate deviation; Deviation inequalities; Explosive Vasicek model; Multiple Wiener–Itô integrals; Self-normalized (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-023-01264-7

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