Article ID Journal Published Year Pages File Type
5129840 Statistics & Probability Letters 2017 11 Pages PDF
Abstract

Our goal is to establish large deviations for the maximum likelihood estimator of the drift parameter of the Ornstein-Uhlenbeck process without tears. We propose a new strategy to establish large deviation results which allows us, via a suitable transformation, to circumvent the classical difficulty of non-steepness. Our approach holds in the stable case where the process is positive recurrent as well as in the unstable and explosive cases where the process is respectively null recurrent and transient. It can also be successfully implemented for more complex diffusion processes.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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