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

Uwe Küchler and Pavel V. Gapeev

No 2003,45, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: 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.

Date: 2003
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