Large deviations for the squared radial Ornstein-Uhlenbeck process
Langue
en
Article de revue
Ce document a été publié dans
Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie. 2016, vol. 61, n° 3
Society for Industrial and Applied Mathematics
Résumé en anglais
We establish large deviation principles for the couple of the maximum likelihood estimators of dimensional and drift coefficients in the generalised squared radial Ornstein-Uhlenbeck process. We focus our attention to the ...Lire la suite >