Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process
نویسندگان
چکیده
منابع مشابه
Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
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 of 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 v...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.06.006