Moderate Deviations for Parameter Estimation in the Fractional Ornstein–Uhlenbeck Processes with Periodic Mean  

作　　者：Hui JIANG Shi Min LI Wei Gang WANG 

机构地区：[1]School of Mathematics,Nanjing University of Aeronautics and Astronautics,Nanjing 210016,P.R.China [2]The People's Bank of China Operations Ofice of Nanjing Branch,Nanjing 210016,P.R.China [3]School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou 310018,P.R.China

出　　处：《Acta Mathematica Sinica,English Series》2024年第5期1308-1324,共17页数学学报（英文版）

基　　金：supported by the Natural Science Foundation of Jiangsu Province of China(Grant No.BK20231435);Fundamental Research Funds for the Central Universities(Grant No.NS2022069);supported by Natural Science Foundation of Zhejiang Province(Grant No.LY19A010004)。

摘　　要：In this paper,we study the asymptotic properties for the drift parameter estimators in the fractional Ornstein-Uhlenbeck process with periodic mean function and long range dependence.The Cremér-type moderate deviations,as well as the moderation deviation principle with explicit rate function can be obtained.

关 键 词：Cramér-type moderate deviation fractional Ornstein-Uhlenbeck process parameter estimation multiple Wiener-Ito integrals 

分 类 号：O212.1[理学—概率论与数理统计]