Please use this identifier to cite or link to this item:
Küchler, Uwe
Gapeev, Pavel V.
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 2003,45
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: 
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:

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