Gao, Fuqing; Jiang, Hui Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift. (English) Zbl 1189.60058 Electron. Commun. Probab. 14, 210-223 (2009). Summary: Some deviation inequalities and moderate deviation principles for the maximum likelihood estimators of parameters in an Ornstein-Uhlenbeck process with linear drift are established by the logarithmic Sobolev inequality and the exponential martingale method. Cited in 17 Documents MSC: 60F10 Large deviations 62F12 Asymptotic properties of parametric estimators 62M05 Markov processes: estimation; hidden Markov models Keywords:deviation inequality; logarithmic Sobolev inequality; moderate deviations; Ornstein- Uhlenbeck process PDFBibTeX XMLCite \textit{F. Gao} and \textit{H. Jiang}, Electron. Commun. Probab. 14, 210--223 (2009; Zbl 1189.60058) Full Text: DOI EuDML EMIS