This article is cited in 8 papers

Large deviations for the squared radial Ornstein–Uhlenbeck process

M. du Roy de Chaumaray

Institut de Mathématiques de Bordeaux, Université Bordeaux

Abstract: We establish large deviation principles for the couple of the maximum likelihood estimators of dimensional and drift coefficients in the generalized squared radial Ornstein–Uhlenbeck process. We focus our attention on the most tractable situation, where the dimensional parameter $a$ is greater than $2$ and the drift parameter $b$ is negative $0$. In contrast to the previous literature, we state large deviation principles when both dimensional and drift coefficients are estimated simultaneously.

Keywords: squared radial Ornstein–Uhlenbeck process, maximum likelihood estimates, large deviations.

Received: 18.07.2014

Language: English

DOI: 10.4213/tvp5071

 English version: Theory of Probability and its Applications, 2017, 61:3, 408–441

Bibliographic databases:

• 
• 
• 
• 
•