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Article Dans Une Revue Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie Année : 2016

Large deviations for the squared radial Ornstein-Uhlenbeck process

Résumé

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.
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hal-01026307 , version 1 (04-09-2015)

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Marie Du Roy de Chaumaray. Large deviations for the squared radial Ornstein-Uhlenbeck process. Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie, 2016, 61 (3). ⟨hal-01026307⟩

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