Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge
From MaRDI portal
Publication:2439652
DOI10.1016/j.spl.2013.06.003zbMath1400.60042OpenAlexW1993141272MaRDI QIDQ2439652
Publication date: 14 March 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.06.003
Parametric hypothesis testing (62F03) Large deviations (60F10) Markov processes: hypothesis testing (62M02)
Related Items (5)
Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ Bias-correction of the maximum likelihood estimator for the \(\alpha\)-Brownian bridge ⋮ On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes ⋮ On the large deviation principle of generalized Brownian bridges
Cites Work
- Unnamed Item
- Unnamed Item
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
- Large and moderate deviations in testing time inhomogeneous diffusions
- On large deviations in testing Ornstein-Uhlenbeck-type models
- Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
- Large deviations in testing fractional Ornstein-Uhlenbeck models
- Large deviations in testing Jacobi model
- Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
- Hypothesis Testing for Signal Detection Problem and Large Deviations
- Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process
- On Deviations of the Sample Mean
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Sharp large deviations for Gaussian quadratic forms with applications
This page was built for publication: Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge