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Moderate deviations for parameter estimation in some time inhomogeneous diffusions
Authors:Jiang Hui
Institution:School of Science, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, PR China
Abstract:We study moderate deviations for the maximum likelihood estimation of some inhomogeneous diffusions. The moderate deviation principle with explicit rate functions is obtained. Moreover, we apply our result to the parameter estimation in αα-Wiener bridges.
Keywords:62F12  62N02  60F15
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