Deviation probability bound for martingales with applications to statistical estimation

Statistics and Probability Letters

Volumn 46, Issue 4, 2000, Pages 347-357

  Liptser, R ^a   Spokoiny, V ^b  

^a TEL AVIV UNIVERSITY   (Israel)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

62G05; Autoregression; Deviation probability; Linear diffusion; Martingale; Maximum likelihood estimate; Secondary 62M99

Indexed keywords

EID: 0042527921     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(99)00121-2     Document Type: Article

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