Large deviations for the squared radial Ornstein-Uhlenbeck process
Idioma
en
Article de revue
Este ítem está publicado en
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
Resumen en inglés
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 ...Leer más >