Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
Langue
en
Article de revue
Ce document a été publié dans
Stochastic Processes and their Applications. 2012, vol. 122, p. 3393-3424
Elsevier
Résumé en anglais
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding of this trichotomy, ...Lire la suite >
Mots clés en anglais
Large deviations
Ornstein-Uhlenbeck process
Likelihood estimation