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Moderate deviations for squared radial Ornstein-Uhlenbeck process

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  • Gao, Fuqing
  • Jiang, Hui

Abstract

We study moderate deviations for maximum likelihood estimators of parameters in generalized squared radial Ornstein-Uhlenbeck processes. The moderate deviation principles of the two parameters are established.

Suggested Citation

  • Gao, Fuqing & Jiang, Hui, 2009. "Moderate deviations for squared radial Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 79(11), pages 1378-1386, June.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:11:p:1378-1386
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    References listed on IDEAS

    as
    1. Zani, Marguerite, 2002. "Large deviations for squared radial Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 25-42, November.
    2. Ludger Overbeck, 1998. "Estimation for Continuous Branching Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 111-126, March.
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    Cited by:

    1. Huantian Xie & Nenghui Kuang, 2021. "Sequential Maximum Likelihood Estimation for the Squared Radial Ornstein-Uhlenbeck Process," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1409-1417, December.
    2. Marie Roy de Chaumaray, 2018. "Moderate deviations for parameters estimation in a geometrically ergodic Heston process," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 553-567, October.

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