MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS
Langue
en
Article de revue
Ce document a été publié dans
Statistical Inference for Stochastic Processes. 2018
Springer Verlag
Date de soutenance
2018Résumé en anglais
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 ...Lire la suite >