Sharp large deviations for the log-likelihood ratio of an -Brownian bridge

DOI10.1016/J.SPL.2013.06.003MaRDI QIDQ2439652zbMATH OpenOpenAlexFDO

Authors Yanping Zhou, Shoujiang Zhao

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

zbMATH Keywords

log-likelihood ratio\(\alpha\)-Brownian bridgesharp large deviations

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Hypothesis testing for signal detection problem and large deviation
• Large and moderate deviations in testing time inhomogeneous diffusions
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• Large deviations in testing Jacobi model
• Large deviations in testing fractional Ornstein-Uhlenbeck models
• On Deviations of the Sample Mean
• On large deviations in testing Ornstein-Uhlenbeck-type models
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Sharp large deviations for Gaussian quadratic forms with applications
• Sharp large deviations for the fractional Ornstein-Uhlenbeck process
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process

Cited in

(7)

• Bias-correction of the maximum likelihood estimator for the -Brownian bridge
• On the large deviation principle of generalized Brownian bridges
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in \(\alpha\)-Wiener bridge process
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• Large deviation expansion for maximum-likelihood estimator of α −Brownian bridge
• On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
• On the large deviation principle for maximum likelihood estimator of -Brownian bridge

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