Moderate deviations for parameter estimation in some time inhomogeneous diffusions |
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Authors: | Jiang Hui |
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Affiliation: | School of Science, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, PR China |
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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 α-Wiener bridges. |
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Keywords: | 62F12 62N02 60F15 |
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