Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
| dc.contributor.author | BERCU, Bernard | |
| hal.structure.identifier | Institut de Mathématiques de Toulouse UMR5219 [IMT] | |
| dc.contributor.author | COUTIN, Laure | |
| hal.structure.identifier | Institut de Mathématiques de Toulouse UMR5219 [IMT] | |
| dc.contributor.author | SAVY, Nicolas | |
| dc.date.created | 2011-11-25 | |
| dc.date.issued | 2012 | |
| dc.identifier.issn | 0304-4149 | |
| dc.description.abstractEn | 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, 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.iso | en | |
| dc.publisher | Elsevier | |
| dc.subject.en | Large deviations | |
| dc.subject.en | Ornstein-Uhlenbeck process | |
| dc.subject.en | Likelihood estimation | |
| dc.title.en | Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.spa.2012.06.006 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Stochastic Processes and their Applications | |
| bordeaux.page | 3393-3424 | |
| bordeaux.volume | 122 | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00645074 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00645074v1 | |
| bordeaux.COinS | ctx_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 |
Fichier(s) constituant ce document
| Fichiers | Taille | Format | Vue |
|---|---|---|---|
|
Il n'y a pas de fichiers associés à ce document. |
|||