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 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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 122 (2012)
Issue (Month): 10 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Shimizu, Yasutaka, 2009. "Notes on drift estimation for certain non-recurrent diffusion processes from sampled data," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2200-2207, October.
- Dietz Hans M. & Kutoyants Yury A., 2003. "Parameter estimation for some non-recurrent solutions of SDE," Statistics & Risk Modeling, De Gruyter, vol. 21(1/2003), pages 29-46, January.
- Zani, Marguerite, 2002. "Large deviations for squared radial Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 25-42, November.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:10:p:3393-3424. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.