Large deviations for the squared radial Ornstein-Uhlenbeck process
Language
en
Article de revue
This item was published in
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
English Abstract
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 ...Read more >
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.Read less <
Origin
Hal imported