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.

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Year of publication:	2012
Authors:	Bercu, Bernard ; Coutin, Laure ; Savy, Nicolas
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 10, p. 3393-3424
Publisher:	Elsevier
Subject:	Large deviations \| Ornstein–Uhlenbeck process \| Likelihood estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010603465