On large deviations in testing Ornstein-Uhlenbeck-type models

DOI10.1007/S11203-007-9012-1zbMath1204.62144OpenAlexW2027699152MaRDI QIDQ623480

Uwe Küchler, Pavel V. Gapeev

Publication date: 5 February 2011

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

Full work available at URL: https://doi.org/10.1007/s11203-007-9012-1

zbMATH Keywords

likelihood ratioBayes teststochastic delay differential equationOrnstein-Uhlenbeck-type processminimax testNeyman-Pearson testGirsanov formula for diffusion-type processesHellinger integrallarge deviation theorems

Mathematics Subject Classification ID

Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20) Large deviations (60F10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (11)

Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift ⋮ Large and moderate deviations in testing Rayleigh diffusion model ⋮ Large deviations in testing squared radial Ornstein-Uhlenbeck model ⋮ Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ On large deviations in testing simple hypotheses for locally stationary Gaussian processes ⋮ Hypothesis testing for stochastic PDEs driven by additive noise ⋮ Hypothesis Testing in a Rayleigh Diffusion Model ⋮ Large and moderate deviations in testing time inhomogeneous diffusions ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift ⋮ Large deviations in testing Jacobi model

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