On large deviations in testing Ornstein-Uhlenbeck-type models. (English) Zbl 1204.62144

Summary: We obtain exact large deviation rates for the log-likelihood ratio in testing models with observed Ornstein-Uhlenbeck processes and get explicit rates of decrease for the error probabilities of Neyman-Pearson, Bayes, and minimax tests. Moreover, we give expressions for the rates of decrease for the error probabilities of Neyman-Pearson tests in models with observed processes solving affine stochastic delay differential equations.


62M02 Markov processes: hypothesis testing
60F10 Large deviations
62F05 Asymptotic properties of parametric tests
62F15 Bayesian inference
62C20 Minimax procedures in statistical decision theory
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