MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS

Abstract : 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.
Document type :
Journal articles
Liste complète des métadonnées

Cited literature [20 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01346972
Contributor : Marie Du Roy de Chaumaray <>
Submitted on : Thursday, January 25, 2018 - 3:18:05 PM
Last modification on : Thursday, February 1, 2018 - 1:13:01 AM

File

MDPheston.pdf
Files produced by the author(s)

Identifiers

Collections

Citation

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

Share

Metrics

Record views

82

Files downloads

39