Gapeev, Pavel V. and Küchler, U. (2008) On large deviations in testing Ornstein–Uhlenbeck-type models. Statistical Inference for Stochastic Processes, 11 (2). pp. 143-155. ISSN 1387-0874
Abstract
We obtain exact large deviation rates for the log-likelihood ratio in testing models with observed Ornstein–Uhlenbeck processes and get explicit rates of decrease for the error probabilities of Neyman–Pearson, Bayes, and minimax tests. Moreover, we give expressions for the rates of decrease for the error probabilities of Neyman–Pearson tests in models with observed processes solving affine stochastic delay differential equations.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.springerlink.com/content/102997/ |
| Additional Information: | © 2008 Springer Netherlands |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Departments > Mathematics |
| Date Deposited: | 19 Jan 2009 12:10 |
| URL: | http://eprints.lse.ac.uk/21943/ |
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