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hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorDU ROY DE CHAUMARAY, Marie
dc.date2018
dc.date.accessioned2024-04-04T03:06:50Z
dc.date.available2024-04-04T03:06:50Z
dc.date.issued2018
dc.identifier.issn1387-0874
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/193372
dc.description.abstractEnWe establish a moderate deviation principle for the maximum likelihood es-timator of the four parameters of a geometrically ergodic Heston process. We also obtain moderate deviations for the maximum likelihood estimator of the couple of dimensional and drift parameters of a generalized squared radial Ornstein-Uhlenbeck process. We restrict ourselves to the most tractable case where the dimensional parameter satisfies a > 2 and the drift coefficient is such that b < 0. In contrast to the previous literature, parameters are estimated simultaneously.
dc.language.isoen
dc.publisherSpringer Verlag
dc.title.enMODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS
dc.typeArticle de revue
dc.identifier.doi10.1007/s11203-017-9158-4
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalStatistical Inference for Stochastic Processes
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01346972
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01346972v1
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