Large and moderate deviations in testing time inhomogeneous diffusions

DOI10.1016/j.jspi.2011.04.003zbMath1216.62131OpenAlexW2059190717MaRDI QIDQ546101

Shoujiang Zhao, Hui Jiang

Publication date: 24 June 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.04.003

zbMATH Keywords

large deviationslog-likelihood ratio process

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10) Markov processes: hypothesis testing (62M02)

Related Items (10)

Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift ⋮ Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ Large and moderate deviations in testing Rayleigh diffusion model ⋮ Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators ⋮ Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge ⋮ Sharp large deviation for the energy of \(\alpha\)-Brownian bridge ⋮ Large deviations for parameter estimators of \(\alpha\)-Brownian bridge ⋮ On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes ⋮ Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

Cites Work

• Unnamed Item
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• On large deviations in testing Ornstein-Uhlenbeck-type models
• Large deviations in testing fractional Ornstein-Uhlenbeck models
• Large deviations in testing Jacobi model
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• Hypothesis Testing for Signal Detection Problem and Large Deviations
• Hypothesis testing and information theory
• Large deviations in estimation of an Ornstein-Uhlenbeck model

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