Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156655 | Stochastic Processes and their Applications | 2012 | 32 Pages |
Abstract
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding this trichotomy, we investigate sharp large deviation principles for this estimator in the three situations. In the explosive case, we exhibit a very unusual rate function with a shaped flat valley and an abrupt discontinuity point at its minimum.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Bernard Bercu, Laure Coutin, Nicolas Savy,