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Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process
Volume 3, Issue 2 (2016), pp. 107–117
Dmytro Marushkevych  

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https://doi.org/10.15559/16-VMSTA54
Pub. online: 7 June 2016      Type: Research Article      Open accessOpen Access

Received
5 May 2016
Revised
16 May 2016
Accepted
16 May 2016
Published
7 June 2016

Abstract

We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein–Uhlenbeck process driven by mixed fractional Brownian motion.

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Keywords
Large deviations Ornstein–Uhlenbeck process mixed fractional Brownian motion maximum likelihood estimator

MSC2010
60G15 62F12 60G22

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