On large deviations in testing Ornstein-Uhlenbeck-type models

DOI10.1007/S11203-007-9012-1zbMATH Open1204.62144OpenAlexW2027699152MaRDI QIDQ623480FDOQ623480

Authors: Uwe Küchler, Pavel Gapeev 

Publication date: 5 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-007-9012-1

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zbMATH Keywords

likelihood ratiostochastic delay differential equationOrnstein-Uhlenbeck-type processminimax testNeyman-Pearson testBayes testGirsanov formula for diffusion-type processesHellinger integrallarge deviation theorems

Mathematics Subject Classification ID

Bayesian inference (62F15) Large deviations (60F10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) Minimax procedures in statistical decision theory (62C20)

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Cited In (13)

• Testing for mean reversion in processes of Ornstein-Uhlenbeck type
• Hypothesis testing for stochastic PDEs driven by additive noise
• Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
• On large deviations in testing simple hypotheses for locally stationary Gaussian processes
• Large and moderate deviations in testing time inhomogeneous diffusions
• Hypothesis Testing in a Rayleigh Diffusion Model
• Large deviations in testing squared radial Ornstein-Uhlenbeck model
• Large deviations in testing fractional Ornstein-Uhlenbeck models
• Large deviations in testing Jacobi model
• Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
• Large and moderate deviations in testing Rayleigh diffusion model
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

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