On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein–Uhlenbeck processes
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DOI: 10.1016/j.spl.2019.108560
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References listed on IDEAS
- 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.
- 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:
- 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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Keywords
Log-likelihood ratio; Large deviation expansion; Ornstein–Uhlenbeck process; α-Wiener bridge;All these keywords.
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