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MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DU ROY DE CHAUMARAY, Marie | |
| dc.date | 2018 | |
| dc.date.accessioned | 2024-04-04T03:06:50Z | |
| dc.date.available | 2024-04-04T03:06:50Z | |
| dc.date.issued | 2018 | |
| dc.identifier.issn | 1387-0874 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/193372 | |
| dc.description.abstractEn | We 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.iso | en | |
| dc.publisher | Springer Verlag | |
| dc.title.en | MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1007/s11203-017-9158-4 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Statistical Inference for Stochastic Processes | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01346972 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01346972v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Statistical%20Inference%20for%20Stochastic%20Processes&rft.date=2018&rft.eissn=1387-0874&rft.issn=1387-0874&rft.au=DU%20ROY%20DE%20CHAUMARAY,%20Marie&rft.genre=article |
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