MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS

Marie Du Roy de Chaumaray (1)

1 IMB - Institut de Mathématiques de Bordeaux

We establish a moderate deviation principle for the maximum likelihood es-timator 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 and the drift coefficient is such that b < 0. In contrast to the previous literature, parameters are estimated simultaneously.

Domaines: Probabilités [math.PR]

Marie Du Roy de Chaumaray. MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS. Statistical Inference for Stochastic Processes, In press, ⟨10.1007/s11203-017-9158-4⟩. ⟨hal-01346972v2⟩