Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
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Publication:282405
DOI10.1007/s11464-016-0513-3zbMath1341.62261MaRDI QIDQ282405
Publication date: 12 May 2016
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-016-0513-3
hypothesis testing; large deviations; moderate deviations; log-likelihood ratio process; Ornstein-Uhlenbeck (O-U) process
62G10: Nonparametric hypothesis testing
60J60: Diffusion processes
60F10: Large deviations
62M02: Markov processes: hypothesis testing
Related Items
Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift, Deviation properties for linear self-attracting diffusion process and applications, Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process, Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
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