Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift

Abstract

This paper studies hypothesis testing in the Ornstein-Ulenbeck process with linear drift. With the help of large and moderate deviations for the log-likelihood ratio process, the decision regions and the corresponding decay rates of the error probabilities related to this testing problem are established.

Keywords

Hypothesis testing / large deviations / log-likelihood ratio process / moderate deviations / Ornstein-Uhleneck (O-U) process

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Higher Education Press and Springer-Verlag Berlin Heidelberg