On large deviations in testing Ornstein–Uhlenbeck-type models
Pavel Gapeev (gapeev@wias-berlin.de) and
Uwe Küchler (kuechler@mathematik.hu-berlin.de)
Statistical Inference for Stochastic Processes, 2008, vol. 11, issue 2, 143-155
Keywords: Likelihood ratio; Hellinger integral; Neyman–Pearson test; Bayes test; Minimax test; Large deviation theorems; Girsanov formula for diffusion-type processes; Ornstein–Uhlenbeck-type process; Stochastic delay differential equation; Primary: 62F05; 60F10; Secondary: 62C10; 62C20; 62M02; 62M07 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:11:y:2008:i:2:p:143-155
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DOI: 10.1007/s11203-007-9012-1
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