Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators |
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| Authors: | FuQing Gao Hui Jiang |
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| Institution: | 1.School of Mathematics and Statistics,Wuhan University,Wuhan,China;2.Hubei Key Laboratory of Computational Science,Wuhan University,Wuhan,China;3.Department of Mathematics,Nanjing University of Aeronautics and Astronautics,Nanjing,China |
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| Abstract: | We study deviation inequalities for some quadratic Wiener functionals and moderate deviations for parameter estimators in a linear stochastic differential equation model. Firstly, we give some estimates for Laplace integrals of the quadratic Wiener functionals by calculating the eigenvalues of the associated Hilbert-Schmidt operators. Then applying the estimates, we establish deviation inequalities for the quadratic functionals and moderate deviation principles for the parameter estimators. |
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