Large and moderate deviations in testing time inhomogeneous diffusions

DOI10.1016/J.JSPI.2011.04.003MaRDI QIDQ546101zbMATH OpenOpenAlexFDO

Authors Shoujiang Zhao, Hui Jiang

Publication date 24 June 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.04.003

zbMATH Keywords

large deviationslog-likelihood ratio process

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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Cites work

• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Hypothesis testing and information theory
• Hypothesis testing for signal detection problem and large deviation
• Large deviations in estimation of an Ornstein-Uhlenbeck model
• Large deviations in testing fractional Ornstein-Uhlenbeck models
• Large deviations in testing Jacobi model
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• On large deviations in testing Ornstein-Uhlenbeck-type models

Cited in

(13)

• On the large deviation principle for maximum likelihood estimator of -Brownian bridge
• Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
• Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
• Large and moderate deviations in testing Rayleigh diffusion model
• Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge
• Sharp large deviation for the energy of \(\alpha\)-Brownian bridge
• Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in -Wiener bridge process
• Hypothesis testing for ergodicity of inhomogeneous diffusions
• Hypothesis testing in a Rayleigh diffusion model
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge

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