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Moderate deviations for statistics of Jacobi process. (Chinese. English summary) Zbl 1212.60054

Summary: This paper studies moderate deviations for the maximum likelihood estimator of the drift parameter of the Jacobi process in the ultraspherical case. The moderate deviation principle with explicit rate functions is obtained. Furthermore, it is obtained that the maximum likelihood estimator of the drift parameter for squared Bessel process has different moderate deviation principle with the estimator of this parameter based on the trajectory of Jacobi process.

MSC:

60G05 Foundations of stochastic processes
33C45 Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.)
62F12 Asymptotic properties of parametric estimators
60F10 Large deviations
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