Large deviation expansion for maximum-likelihood estimator of α −Brownian bridge

Shoujiang Zhao and Ting Chen

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 15, 7313-7326

Abstract: We studied the large deviation expansion for maximum-likelihood estimator of α −Brownian bridge by using change of measure and time-varying change of probability. The full expansion provided a useful tool to approximate the tail probability of maximum-likelihood estimator.

Date: 2017
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DOI: 10.1080/03610926.2016.1148734

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