On large deviations in testing Ornstein–Uhlenbeck-type models

Gapeev, Pavel V. ORCID: 0000-0002-1346-2074 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

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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
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	19 Jan 2009 12:10
Last Modified:	01 Nov 2024 05:18
URI:	http://eprints.lse.ac.uk/id/eprint/21943

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