Resource title

On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay

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Resource description

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.

Resource author

Uwe Küchler, Pavel V. Gapeev

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/22259

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Adapt according to the presented license agreement and reference the original author.