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arXiv · 1806.08160

Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process

marie du Roy de Chaumaray
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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.

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marie du Roy de Chaumaray. 2018-06-21. Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process. https://arxiv.org/abs/1806.08160

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