On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay

We obtain an explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with observed Ornstein-Uhlenbeck processes and get explicit rates of decrease for error probabilities of Neyman-Pearson, Bayes, and minimax tests. We also give expressions for the rates of decrease of error probabilities of Neyman-Pearson tests in models with observed processes solving affine stochastic delay differential equations.

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Year of publication:	2003
Authors:	Küchler, Uwe ; Gapeev, Pavel V.
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	Statistischer Test \| Stochastischer Prozess \| Theorie

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Series:	SFB 373 Discussion Paper ; 2003,45
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	37917376X [GVK] hdl:10419/22259 [Handle] RePEc:zbw:sfb373:200345 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296480