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On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein–Uhlenbeck processes

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  • Zhao, Shoujiang
  • Zhou, Qianqian

Abstract

We consider the full expansion of the tail probability for log-likelihood ratio of some diffusion process by using change of measure. As special cases, we get the large deviation expansion of Ornstein–Uhlenbeck process and α-Wiener bridge.

Suggested Citation

  • Zhao, Shoujiang & Zhou, Qianqian, 2019. "On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
  • Handle: RePEc:eee:stapro:v:155:y:2019:i:c:4
    DOI: 10.1016/j.spl.2019.108560
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    References listed on IDEAS

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    1. Bercu, Bernard & Coutin, Laure & Savy, Nicolas, 2012. "Sharp large deviations for the non-stationary Ornstein–Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3393-3424.
    2. 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.
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    Cited by:

    1. Cui, Jiazhen & Liu, Qiaojing, 2023. "Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 192(C).

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