Moderate deviations for parameters estimation in a geometrically ergodic Heston process

DOI10.1007/S11203-017-9158-4MaRDI QIDQ6870303zbMATH OpenFDO

Authors Marie du Roy de Chaumaray

Publication date 21 January 2026

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11203-017-9158-4

zbMATH Keywords

Heston processmaximum likelihood estimatormoderate deviation principleparameter estimation

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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