MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS
Idioma
en
Article de revue
Este ítem está publicado en
Statistical Inference for Stochastic Processes. 2018
Springer Verlag
Fecha de defensa
2018Resumen en inglés
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 ...Leer más >