Deviation inequalities,moderate deviation principles for certain Gaussian functionals,and their applications in parameter estimation |
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| Authors: | Hui Jiang Shimin Li |
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| Institution: | Department of Mathematics, Nanjing University of Aeronautics and Astronautics Nanjing, P. R. China |
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| Abstract: | In this article, we study the deviation inequalities, moderate deviation principle (MDP) and Berry–Esseen bounds for certain Gaussian functionals arising from the Ornstein-Uhlenbeck process without tears. As an application, several asymptotic properties for the minimum distance estimator are obtained. The main methods include the MDP and deviation inequality for multiple Wiener–Itô integrals. |
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| Keywords: | Deviation inequalities minimum distance estimator moderate deviation principle multiple Wiener–Itô integrals Ornstein–Uhlenbeck process |
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