Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process

Abstract

We establish large deviation principles for the couple of the maximum likelihood estimators of dimensional and drift coefficients in the generalised squared radial Ornstein-Uhlenbeck process. We focus our attention to the most tractable situation where the dimensional parameter a ą 2 and the drift parameter b ă 0. In contrast to the previous literature, we state large deviation principles when both dimensional and drift coefficient are estimated simultaneously.Date: September 2, 2015.

Weighted least-squares estimation for the subcritical Heston process

“…and '⊗' denotes the Kronecker product. A large deviation principle for the couple ( a T , b T ) was established by Cox et al [9]. In the particular case where one parameter is known and the other one is estimated, large deviations can be found in [28], while moderate deviations can be found in [14].…”