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Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
dc.contributor.authorBERCU, Bernard
hal.structure.identifierInstitut de Mathématiques de Toulouse UMR5219 [IMT]
dc.contributor.authorCOUTIN, Laure
hal.structure.identifierInstitut de Mathématiques de Toulouse UMR5219 [IMT]
dc.contributor.authorSAVY, Nicolas
dc.date.created2011-11-25
dc.date.issued2012
dc.identifier.issn0304-4149
dc.description.abstractEnFor 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, we investigate sharp large deviation principles for this estimator in the three situations. In the explosive case, we exhibit a very unusual rate function with a shaped flat valley and an abrupt discontinuity point at its minimum.
dc.language.isoen
dc.publisherElsevier
dc.subject.enLarge deviations
dc.subject.enOrnstein-Uhlenbeck process
dc.subject.enLikelihood estimation
dc.title.enSharp large deviations for the non-stationary Ornstein-Uhlenbeck process
dc.typeArticle de revue
dc.identifier.doi10.1016/j.spa.2012.06.006
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalStochastic Processes and their Applications
bordeaux.page3393-3424
bordeaux.volume122
bordeaux.peerReviewedoui
hal.identifierhal-00645074
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00645074v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2012&rft.volume=122&rft.spage=3393-3424&rft.epage=3393-3424&rft.eissn=0304-4149&rft.issn=0304-4149&rft.au=BERCU,%20Bernard&COUTIN,%20Laure&SAVY,%20Nicolas&rft.genre=article


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