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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/22259
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| Title: | | On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay  |
| 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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