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Large deviations in testing fractional Ornstein–Uhlenbeck models

Authors :
Jaya P. N. Bishwal
Source :
Statistics & Probability Letters. 78:953-962
Publication Year :
2008
Publisher :
Elsevier BV, 2008.

Abstract

The paper obtains the explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with fractional Ornstein–Uhlenbeck processes with Hurst parameter bigger than half and obtains the explicit rates of decrease of the error probabilities of Neyman–Pearson, Bayes and minimax tests.

Details

ISSN :
01677152
Volume :
78
Database :
OpenAIRE
Journal :
Statistics & Probability Letters
Accession number :
edsair.doi...........562271db86c7c135b2c3f293dd240d79
Full Text :
https://doi.org/10.1016/j.spl.2007.09.055