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

作     者：Hui JIANG 

作者机构：Department of Mathematics Nanjing University of Aeronautics and AstronauticsNanjing 210016 China 

出 版 物：《Frontiers of Mathematics in China》 (中国高等学校学术文摘·数学（英文）)

年 卷 期：2016年第11卷第2期

页      面：291-307页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 08[工学] 0816[工学-测绘科学与技术] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the Fundamental Research Funds for the Central Universities 

主　　题：Hypothesis testing large deviations log-likelihood ratio process,moderate deviations Ornstein-Uhleneck (O-U) process 

摘      要：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.