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Teoriya Veroyatnostei i ee Primeneniya, 2020, Volume 65, Issue 3, Pages 583–601
DOI: https://doi.org/10.4213/tvp5236 (Mi tvp5236) 		 
Sharp large deviations for the drift parameter of the explosive Cox–Ingersoll–Ross process

M. du Roy de Chaumaray

CREST ENSAI, BRUZ cedex, France
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DOI: https://doi.org/10.4213/tvp5236
Abstract: We consider an explosive Cox–Ingersoll–Ross process. We establish a sharp large deviation principle for the maximum likelihood estimator of its drift parameter.
Keywords: CIR process, parameters estimation, large deviations, maximum likelihood estimator.
Received: 20.06.2018
Revised: 29.07.2019
Accepted: 26.11.2019
English version:
Theory of Probability and its Applications, 2020, Volume 65, Issue 3, Pages 454–469
DOI: https://doi.org/10.1137/S0040585X97T990058
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. du Roy de Chaumaray, “Sharp large deviations for the drift parameter of the explosive Cox–Ingersoll–Ross process”, Teor. Veroyatnost. i Primenen., 65:3 (2020), 583–601; Theory Probab. Appl., 65:3 (2020), 454–469
Citation in format AMSBIB
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\pages 583--601
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