Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein–Uhlenbeck processes

Jiazhen Cui and Qiaojing Liu

Statistics & Probability Letters, 2023, vol. 192, issue C

Abstract: We consider the Cramér-type moderate deviations for the log-likelihood ratio of the inhomogeneous Ornstein–Uhlenbeck processes in the stationary and explosive cases. The relative error of tail probability of the log-likelihood ratio is quantified by deviation inequalities for multiple Wiener–Itô integrals and mod-ϕ convergence approach. As the special cases, we get the Cramér-type moderate deviations of the Ornstein–Uhlenbeck process and α-Wiener bridge.

Keywords: Log-likelihood ratio; Cramér moderate deviations; Ornstein–Uhlenbeck process; α-Wiener bridge (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2022.109690

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