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

TL;DR

This paper establishes a precise large deviation principle for the maximum likelihood estimator of the drift parameter in a non-stationary Cox-Ingersoll-Ross process, providing insights into its probabilistic behavior.

Contribution

It introduces a sharp large deviation principle for the drift estimator of a non-stationary Cox-Ingersoll-Ross process, advancing understanding of its probabilistic properties.

Findings

Established a sharp large deviation principle for the estimator.

Provided theoretical insights into the estimator's probabilistic behavior.

Enhanced understanding of non-stationary Cox-Ingersoll-Ross processes.

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.