Tecuapetla-Gómez, Inder; Nussbaum, Michael - In: Statistical Inference for Stochastic Processes 15 (2012) 3, pp. 225-239
We derive a large deviation result for the log-likelihood ratio for testing simple hypotheses in locally stationary Gaussian processes. This result allows us to find explicitly the rates of exponential decay of the error probabilities of type I and type II for Neyman–Pearson tests....