LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
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概要
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We investigate the probabilities of large deviations of the maximum likelihood estimator and Bayes estimator of the drift parameter for a fractional Ornstein-Uhlenbeck type process.
- Research Association of Statistical Sciencesの論文
- 2006-12-00
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