Theory of Probability and Its Applications · 2011 · 54 citations · 14 references
EngineeringMathematicsPhysicsProbability TheoryStatisticsStochastic ProcessesBrownian MotionLarge DeviationsLévy ProcessesMarkov ProcessesStochastic CalculusStochastic Differential EquationsFractional Brownian MotionMaximum Likelihood EstimatorOrnstein-uhlenbeck ModelsOrnstein-uhlenbeck Processes
We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein–Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.
14
On Deviations of the Sample Mean
R. R. Bahadur, Rema Rao · The Annals of Mathematical Statistics · 1960 · 536 citations · Full text
Natural Sciences, Educational Measurement, Probability Theory +10