On large deviations in testing Ornstein–Uhlenbeck-type models
On large deviations in testing Ornstein–Uhlenbeck-type models
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DOI：
10.1007/s11203-007-9012-1
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发表时间：
2008-06
影响因子：
0.8
通讯作者：
P. Gapeev;U. Küchler
中科院分区：
文献类型：
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作者：
P. Gapeev;U. Küchler
我们在观察到的Ornstein-Uhlenbeck过程的测试模型中获得了对数似然比的精确大偏差率，并获得了Neyman-Pearson、Bayes和minimax测试的误差概率的显式降低率。此外，我们还给出了具有观测过程的模型内曼-皮尔逊检验的误差概率的减小率表达式，用于求解仿射随机时滞微分方程。
We obtain exact large deviation rates for the log-likelihood ratio in testing models with observed Ornstein–Uhlenbeck processes and get explicit rates of decrease for the error probabilities of Neyman–Pearson, Bayes, and minimax tests. Moreover, we give expressions for the rates of decrease for the error probabilities of Neyman–Pearson tests in models with observed processes solving affine stochastic delay differential equations.