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Title:On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay PDF Logo
Authors:Küchler, Uwe
Gapeev, Pavel V.
Issue Date:2003
Series/Report no.:Discussion papers of interdisciplinary research project 373 2003,45
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.
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050797
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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