Large deviations for drift parameter estimator of mixed fractional Ornstein–Uhlenbeck process
Volume 3, Issue 2 (2016), pp. 107–117
Pub. online: 7 June 2016
Type: Research Article
Open Access
Open Access
Received
5 May 2016
5 May 2016
Revised
16 May 2016
16 May 2016
Accepted
16 May 2016
16 May 2016
Published
7 June 2016
7 June 2016
Abstract
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein–Uhlenbeck process driven by mixed fractional Brownian motion.
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