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.

Key words： Hypothesis testing; large deviations; log-likelihood ratio process; moderate deviations; Ornstein-Uhleneck (O-U) process

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