2000 character limit reached
Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process (1806.08160v1)
Published 21 Jun 2018 in math.PR, math.ST, and stat.TH
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.