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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.
Year of publication:
2003
Authors: Küchler, Uwe ; Gapeev, Pavel V.
Institutions: Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Number 2003,45
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Persistent link: https://www.econbiz.de/10010983460
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