Large deviations in testing fractional Ornstein-Uhlenbeck models

Jaya P.N. Bishwal

Statistics & Probability Letters, 2008, vol. 78, issue 8, 953-962

Abstract: The paper obtains the explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with fractional Ornstein-Uhlenbeck processes with Hurst parameter bigger than half and obtains the explicit rates of decrease of the error probabilities of Neyman-Pearson, Bayes and minimax tests.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(07)00347-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:78:y:2008:i:8:p:953-962

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().