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Convergence rate of CLT for the drift es ...
Modern Stochastics: Theory and Applications
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Convergence rate of CLT for the drift estimation of sub-fractional Ornstein–Uhlenbeck process of second kind
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Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise
Alexander V. Ivanov
Igor V. Orlovskyi
https://doi.org/10.15559/18-VMSTA102
Pub. online:
7 May 2018
Type:
Research Article
Open Access
Journal:
Modern Stochastics: Theory and Applications
Volume 5, Issue 2 (2018), pp. 191–206
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Abstract
A continuous-time regression model with a jointly strictly sub-Gaussian random noise is considered in the paper. Upper exponential bounds for probabilities of large deviations of the least squares estimator for the regression parameter are obtained.
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