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.
Uwe Küchler, Pavel V. Gapeev
eng
text/html
http://hdl.handle.net/10419/22259
Adapt according to the presented license agreement and reference the original author.