Large deviations in estimation of an Ornstein-Uhlenbeck model;Grandes déviations pour l'estimation d'un modéle d'Ornstein-Uhlenbeck

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 324, Issue 3, 1997, Pages 327-332

  Florens Landais, Danielle ^a   Pham, Huyên ^b  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031065150     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(99)80370-X     Document Type: Article

References (7)

1. [1] Bahadur R., Gupta J. C. and Zabell S., 1980. Large deviations, tests and estimates, in Asymptotic Theory of Statistical tests and Estimation, Chakravarti, pp. 33-64.
2. [2] Bercu B., Gamboa F. and Rouault A., 1996. Grandes déviations pour des formes quadratiques de processus gaussiens stationnaires, C. R. Acad. Sci. Paris, 322, Series I, pp. 695-698.
3. [3] Bercu B., Gamboa F. and Rouault A., 1996. Large deviations for quadratic forms of gaussian stationary processes, Orsay.
4. [4] Bryc W. and Dembo A., 1995. Large deviations for quadratic functionals of gaussian processes, J. Theoret. Probab. (to appear).
5. [5] Dembo A. and Zeitouni O., 1993. Large deviations techniques and applications, Bartlett.
6. [6] Florens D., 1984. Un théorème de limite centrale pour une diffusion et sa discrétisée, C. R. Acad. Sci. Paris, 299, Series I, pp. 995-998.
7. [7] Florens D. and Pham H., 1996. Large deviations in estimation of an Ornstein-Uhlenbeck model. Preprint CEREMADE No. 9621.