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Moderate deviations for parameters estimation in a geometrically ergodic Heston process

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  • Marie Roy de Chaumaray

    (Université de Bordeaux)

Abstract

We establish a moderate deviation principle for the maximum likelihood estimator of the four parameters of a geometrically ergodic Heston process. We also obtain moderate deviations for the maximum likelihood estimator of the couple of dimensional and drift parameters of a generalized squared radial Ornstein–Uhlenbeck process. We restrict ourselves to the most tractable case where the dimensional parameter satisfies $$a>2$$ a > 2 and the drift coefficient is such that $$b

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  • 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.
    • Handle: RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9158-4
    DOI: 10.1007/s11203-017-9158-4
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    References listed on IDEAS

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    6. Zani, Marguerite, 2002. "Large deviations for squared radial Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 25-42, November.
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    Cited by:

    1. Hui Jiang & Qingshan Yang, 2022. "Moderate Deviations for Drift Parameter Estimations in Reflected Ornstein–Uhlenbeck Process," Journal of Theoretical Probability, Springer, vol. 35(2), pages 1262-1283, June.

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