EconStor >
Humboldt-Universität zu Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKüchler, Uween_US
dc.contributor.authorGapeev, Pavel V.en_US
dc.description.abstractWe 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.en_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,45en_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwStochastischer Prozessen_US
dc.titleOn Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delayen_US
dc.typeWorking Paperen_US
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
dpsfb200345.pdf171.58 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.