Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
< Leer menos
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]
Idioma
en
Article de revue
Este ítem está publicado en
Stochastic Processes and their Applications. 2012, vol. 122, p. 3393-3424
Elsevier
Resumen en inglés
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding of this trichotomy, ...Leer más >
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding of this trichotomy, we investigate sharp large deviation principles for this estimator in the three situations. In the explosive case, we exhibit a very unusual rate function with a shaped flat valley and an abrupt discontinuity point at its minimum.< Leer menos
Palabras clave en inglés
Large deviations
Ornstein-Uhlenbeck process
Likelihood estimation
Orígen
Importado de HalCentros de investigación