Frontiers of Mathematics in China >
Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
Received date: 22 Mar 2012
Accepted date: 06 Jan 2016
Published date: 18 Apr 2016
Copyright
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.
Hui JIANG . Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift[J]. Frontiers of Mathematics in China, 2016 , 11(2) : 291 -307 . DOI: 10.1007/s11464-016-0513-3
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