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https://hdl.handle.net/10419/22259
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Küchler, Uwe | en |
dc.contributor.author | Gapeev, Pavel V. | en |
dc.date.accessioned | 2009-01-29T14:55:12Z | - |
dc.date.available | 2009-01-29T14:55:12Z | - |
dc.date.issued | 2003 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10050797 | en |
dc.identifier.uri | http://hdl.handle.net/10419/22259 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x2003,45 | en |
dc.subject.ddc | 330 | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Theorie | en |
dc.title | On Large Deviations in Testing Ornstein-Uhlenbeck Type Models with Delay | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 37917376X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:200345 | en |
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