Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
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Publication:282405
DOI10.1007/s11464-016-0513-3zbMath1341.62261OpenAlexW2310998676MaRDI QIDQ282405
Publication date: 12 May 2016
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-016-0513-3
hypothesis testinglarge deviationsmoderate deviationslog-likelihood ratio processOrnstein-Uhlenbeck (O-U) process
Nonparametric hypothesis testing (62G10) Diffusion processes (60J60) Large deviations (60F10) Markov processes: hypothesis testing (62M02)
Related Items
Deviation properties for linear self-attracting diffusion process and applications ⋮ Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
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