2005-10-20Buch DOI: 10.18452/3649
On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay
Gapeev, Pavel V.
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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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 45, SFB 373 Papers, ISSN:1436-1086