Large deviations of regression parameter estimator in continuous-time models with sub-Gaussian noise
classification
🧮 math.PR
keywords
regressioncontinuous-timedeviationsestimatorlargenoiseparametersub-gaussian
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A continuous-time regression model with a jointly strictly sub-Gaussian random noise is considered in the paper. Upper exponential bounds for probabilities of large deviations of the least squares estimator for the regression parameter are obtained.
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