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

We studied the sharp large deviations for the log-likelihood ratio of an α-Brownian bridge. The full expansion of the tail probability for the log-likelihood ratio was obtained by using a change of measure.

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Year of publication:	2013
Authors:	Zhao, Shoujiang ; Zhou, Yanping
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 12, p. 2750-2758
Publisher:	Elsevier
Subject:	Log-likelihood ratio \| Sharp large deviations \| α-Brownian bridge

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039982