Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

DOI10.1016/J.SPL.2022.109690MaRDI QIDQ2107585zbMATH OpenOpenAlexFDO

Authors J. Z. Cui, Qiaojing Liu

Publication date 2 December 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109690

zbMATH Keywords

Ornstein-Uhlenbeck processlog-likelihood ratio\( \alpha \)-Wiener bridgeCramér moderate deviations

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Large deviations (60F10) Gaussian processes (60G15) Markov processes: hypothesis testing (62M02)

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Cites work

• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Cramér type moderate deviation theorems for self-normalized processes
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large and moderate deviations in testing time inhomogeneous diffusions
• Large deviations in testing fractional Ornstein-Uhlenbeck models
• Mod-\(\Phi\) convergence. Normality zones and precise deviations
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• On a multivariate version of Bernstein's inequality
• On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
• Self-normalized Cramér type moderate deviations for stationary sequences and applications
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process

Cited in

(6)

• Cramer-type moderate deviations for a stationary Ornstein-Uhlenbeck process under discrete observations
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
• On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Self-normalized Cramér-type moderate deviations for explosive Vasicek model
• Deviation properties for linear self-attracting diffusion process and applications

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