Moderate Deviations for Parameter Estimation in the Fractional Ornstein–Uhlenbeck Processes with Periodic Mean

Acta Mathematica Sinica, English Series（2023）

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摘要

In this paper, we study the asymptotic properties for the drift parameter estimators in the fractional Ornstein–Uhlenbeck process with periodic mean function and long range dependence. The Cremér-type moderate deviations, as well as the moderation deviation principle with explicit rate function can be obtained.

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关键词

Cramer-type moderate deviation,fractional Ornstein-Uhlenbeck process,parameter estimation,multiple Wiener-Ito integrals

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