IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v43y1999i2p207-215.html
   My bibliography  Save this article

Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations

Author

Listed:
  • Bishwal, J. P. N.

Abstract

Exponential bounds on the large deviation probability of the maximum likelihood estimator and the Bayes estimators of the parameter appearing nonlinearly in the drift coefficient of homogeneous Itô's stochastic differential equations are obtained under some regularity conditions.

Suggested Citation

  • Bishwal, J. P. N., 1999. "Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 207-215, June.
  • Handle: RePEc:eee:stapro:v:43:y:1999:i:2:p:207-215
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(98)00261-2
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Prakasa Rao, B. L. S., 1984. "On the exponential rate of convergence of the least squares estimator in the nonlinear regression model with Gaussian errors," Statistics & Probability Letters, Elsevier, vol. 2(3), pages 139-142, May.
    2. Prakasa Rao, B. L. S., 1984. "The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors," Journal of Multivariate Analysis, Elsevier, vol. 14(3), pages 315-322, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bishwal, J. P. N., 2001. "Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings," Statistics & Probability Letters, Elsevier, vol. 52(4), pages 427-439, May.
    2. Zhang, Pu & Xiao, Wei-lin & Zhang, Xi-li & Niu, Pan-qiang, 2014. "Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation," Economic Modelling, Elsevier, vol. 36(C), pages 198-203.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yang, Wenzhi & Hu, Shuhe, 2014. "Large deviation for a least squares estimator in a nonlinear regression model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 135-144.
    2. Abdelrazeq, Ibrahim, 2015. "Model verification for Lévy-driven Ornstein–Uhlenbeck processes with estimated parameters," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 26-35.
    3. Aiting Shen & Yu Zhang & Benqiong Xiao & Andrei Volodin, 2017. "Moment inequalities for m-negatively associated random variables and their applications," Statistical Papers, Springer, vol. 58(3), pages 911-928, September.
    4. Miao, Yu & Tang, Yanyan, 2021. "Large deviation inequalities of LS estimator in nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 168(C).
    5. Lyubchich, Vyacheslav & Gel, Yulia R., 2016. "A local factor nonparametric test for trend synchronism in multiple time series," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 91-104.
    6. Haupt, Harry & Oberhofer, Walter, 2009. "On asymptotic normality in nonlinear regression," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 848-849, March.
    7. Prakasa Rao, B. L. S., 2004. "Estimation of cusp in nonregular nonlinear regression models," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 243-251, February.
    8. Shuhe, Hu, 2004. "Consistency for the least squares estimator in nonlinear regression model," Statistics & Probability Letters, Elsevier, vol. 67(2), pages 183-192, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:43:y:1999:i:2:p:207-215. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.