Large deviations for the squared radial Ornstein-Uhlenbeck process
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DU ROY DE CHAUMARAY, Marie | |
| dc.date.accessioned | 2024-04-04T03:17:45Z | |
| dc.date.available | 2024-04-04T03:17:45Z | |
| dc.date.created | 2014-07-18 | |
| dc.date.issued | 2016 | |
| dc.identifier.issn | 0040-585X | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194335 | |
| dc.description.abstractEn | 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 most tractable situation where the dimensional parameter $a>2$ and the drift parameter $b<0$. In contrast to the previous literature, we state large deviation principles when both dimensional and drift coefficient are estimated simultaneously. | |
| dc.language.iso | en | |
| dc.publisher | Society for Industrial and Applied Mathematics | |
| dc.title.en | Large deviations for the squared radial Ornstein-Uhlenbeck process | |
| dc.type | Article de revue | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1407.4949 | |
| bordeaux.journal | Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie | |
| bordeaux.volume | 61 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 3 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01026307 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01026307v1 | |
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