Article ID Journal Published Year Pages File Type
1156655 Stochastic Processes and their Applications 2012 32 Pages PDF
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
, , ,