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On large deviations in testing Ornstein–Uhlenbeck-type models

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  • Pavel Gapeev
  • Uwe Küchler

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  • Pavel Gapeev & Uwe Küchler, 2008. "On large deviations in testing Ornstein–Uhlenbeck-type models," Statistical Inference for Stochastic Processes, Springer, vol. 11(2), pages 143-155, June.
    • Handle: RePEc:spr:sistpr:v:11:y:2008:i:2:p:143-155
    DOI: 10.1007/s11203-007-9012-1
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Uwe Kuchler & Y. A. Kutoyants, 2000. "Delay Estimation for Some Stationary Diffusion‐type Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 405-414, September.
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    Cited by:

    1. Inder Tecuapetla-Gómez & Michael Nussbaum, 2012. "On large deviations in testing simple hypotheses for locally stationary Gaussian processes," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 225-239, October.
    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.
    3. Nenghui Kuang & Huantian Xie, 2013. "Large and moderate deviations in testing Rayleigh diffusion model," Statistical Papers, Springer, vol. 54(3), pages 591-603, August.
    4. Cialenco, Igor & Xu, Liaosha, 2015. "Hypothesis testing for stochastic PDEs driven by additive noise," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 819-866.
    5. Zhao, Shoujiang & Gao, Fuqing, 2010. "Large deviations in testing Jacobi model," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 34-41, January.

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