Deviation probability bound for martingales with applications to statistical estimation - R. Liptser; Vladimir G. Spokoiny (Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, 1999)
urn:nbn:de:kobv:11-10046725
Keywords: 330; autoregression; martingale; deviation probability; maximum likelihood estimate; linear diffusion