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

DOI10.1016/J.SPL.2013.06.003zbMATH Open1400.60042OpenAlexW1993141272MaRDI QIDQ2439652FDOQ2439652

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

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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)

Cites Work

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• Sharp large deviations for the fractional Ornstein-Uhlenbeck process
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• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large deviations for parameter estimators of \(\alpha\)-Brownian bridge
• Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes

Cited In (7)

• Bias-correction of the maximum likelihood estimator for the \(\alpha\)-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 \(\alpha\)-Brownian bridge

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