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Large deviations in testing fractional Ornstein–Uhlenbeck models
- 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.
- Subjects :
- Statistics and Probability
Hurst exponent
Ornstein–Uhlenbeck process
Physics::Data Analysis
Minimax
Bayes' theorem
Mathematics::Probability
Probability theory
Bayes test
Statistics
Statistics::Methodology
Applied mathematics
Large deviations theory
Statistics, Probability and Uncertainty
Statistical hypothesis testing
Mathematics
Subjects
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