Large Deviations for Statistics of Jacobi Process

Details Large Deviations for Statistics of Jacobi Process Large Deviations for Statistics of Jacobi Process

2006-11-28

arxiv.org/abs/math/0611884v1

Mathematics

Probability

Scientific paper

In this paper, we derive a handable expression for the Jacobi process semi group which is given by a bilinear series involving Jacobi polynomials. Our attempt uses a subordination of the considered process by means of a suitable random change. Once we did, we will be able, in the ultraspheric case, to derive a LDP for a family of estimators based on a single trajectory of the process.

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