Large deviations for the squared radial Ornstein - Uhlenbeck process

Marie du Roy de Chaumaray, Marie du Roy de Chaumaray
2016 Teorija verojatnostej i ee primenenija  
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.
doi:10.4213/tvp5071 fatcat:nigtes3nubb7tnoubzj3yjeaa4