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ABSTRACT In this article, we study the deviation inequalities, moderate deviation principle (MDP) and Berry–Esseen bounds for certain Gaussian functionals arising from the Ornstein-Uhlenbeck process without tears. As an application,… Click to show full abstract
ABSTRACT In this article, we study the deviation inequalities, moderate deviation principle (MDP) and Berry–Esseen bounds for certain Gaussian functionals arising from the Ornstein-Uhlenbeck process without tears. As an application, several asymptotic properties for the minimum distance estimator are obtained. The main methods include the MDP and deviation inequality for multiple Wiener–Itô integrals.
Keywords:
deviation;
inequalities moderate;
moderate deviation;
deviation inequalities;
gaussian functionals;
certain gaussian
Journal Title: Stochastic Analysis and Applications
Year Published: 2017
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Journal Title: Stochastic Analysis and Applications
Year Published: 2017
Link to full text (if available)
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recommendations!