Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process
Probability
2018-06-22 v1 Statistics Theory
Statistics Theory
Abstract
We consider a non-stationary Cox-Ingersoll-Ross process. We establish a sharp large deviation principle for the maximum likelihood estimator of its drift parameter.
Cite
@article{arxiv.1806.08160,
title = {Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process},
author = {marie du Roy de Chaumaray},
journal= {arXiv preprint arXiv:1806.08160},
year = {2018}
}