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Self-Normalized Cramér-Type Moderate Deviations for Explosive Vasicek Model

Author

Listed:
  • Hui Jiang

    (Nanjing University of Aeronautics and Astronautics)

  • Yajuan Pan

    (Nanjing University of Aeronautics and Astronautics)

  • Xiao Wei

    (Central University of Finance and Economics)

Abstract

By deviation inequalities for multiple Wiener–Itô integrals, we study the deviation inequalities for some quadratic functionals in the explosive Vasicek model. Then, self-normalized Cramér-type moderate deviations and joint moderate deviations for the maximum likelihood estimators are obtained via asymptotic analysis techniques.

Suggested Citation

  • Hui Jiang & Yajuan Pan & Xiao Wei, 2024. "Self-Normalized Cramér-Type Moderate Deviations for Explosive Vasicek Model," Journal of Theoretical Probability, Springer, vol. 37(1), pages 228-250, March.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01264-7
    DOI: 10.1007/s10959-023-01264-7
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