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Large deviations in testing fractional Ornstein-Uhlenbeck models

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  • Bishwal, Jaya P.N.

Abstract

The paper obtains the explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with fractional Ornstein-Uhlenbeck processes with Hurst parameter bigger than half and obtains the explicit rates of decrease of the error probabilities of Neyman-Pearson, Bayes and minimax tests.

Suggested Citation

  • Bishwal, Jaya P.N., 2008. "Large deviations in testing fractional Ornstein-Uhlenbeck models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 953-962, June.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:8:p:953-962
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    References listed on IDEAS

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    1. Fred Espen Benth, 2003. "On arbitrage-free pricing of weather derivatives based on fractional Brownian motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(4), pages 303-324.
    2. M.L. Kleptsyna & A. Le Breton, 2002. "Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 229-248, October.
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    Cited by:

    1. Zhao, Shoujiang & Zhou, Yanping, 2013. "Sharp large deviations for the log-likelihood ratio of an α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2750-2758.
    2. Zhao, Shoujiang & Gao, Fuqing, 2010. "Large deviations in testing Jacobi model," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 34-41, January.
    3. Zhang, Pu & Xiao, Wei-lin & Zhang, Xi-li & Niu, Pan-qiang, 2014. "Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation," Economic Modelling, Elsevier, vol. 36(C), pages 198-203.

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