报告题目：Asymptotic properties for the  parameter estimation in  Ornstein-Uhlenbeck process with discrete observations

报 告 人：蒋辉教授（南京航空航天大学）

报告时间：2019年10月24日上午10:30-11:30

报告地点：知新楼B-1238

报告摘要：

In this talk, under discrete observations, we study Cramer-type moderate deviations (extended central limit theorem) for parameter estimation in  Ornstein-Uhlenbeck process. Our results contain both stationary and explosive cases. For applications, we propose test statistics which can be used to construct  rejection regions in the hypothesis testing for the drift coefficient, and the corresponding probability of type II error tends to zero exponentially. Simulation study shows that our test statistics have good finite-sample performances both in size and power. The main methods  include the deviation inequalities for multiple Wiener-Ito integrals, as well as the asymptotic analysis techniques. This is a joint work with Hui LIU and Youzhou ZHOU.

邀请人：王汉超 副教授

欢迎各位老师同学积极参加！