Large deviations for squared radial Ornstein-Uhlenbeck processes

Marguerite Zani

Stochastic Processes and their Applications, 2002, vol. 102, issue 1, 25-42

Abstract: In this paper, we state a large deviation principle (LDP) and sharp LDP for maximum likelihood estimators of drift coefficients of generalized squared radial Ornstein-Uhlenbeck processes. For that purpose, we present an LDP in a class of non-steep cases, where the Gärtner-Ellis theorem cannot be applied.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(02)00156-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:102:y:2002:i:1:p:25-42

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().