Large and moderate Ornstein-Uhlenbeck deviations in testing process with linear drift  

作　　者：Hui JIANG 

机构地区：[1]Department of Mathematics, Nanjing University of Aeronautics and Astronautics,Nanjing 210016, China

出　　处：《Frontiers of Mathematics in China》2016年第2期291-307,共17页中国高等学校学术文摘·数学（英文）

摘　　要：This paper studies hypothesis testing in the Ornstein-Ulenbeck process with linear drift. With the help of large and moderate deviations for the log-likelihood ratio process, the decision regions and the corresponding decay rates of the error probabilities related to this testing problem are established.This paper studies hypothesis testing in the Ornstein-Ulenbeck process with linear drift. With the help of large and moderate deviations for the log-likelihood ratio process, the decision regions and the corresponding decay rates of the error probabilities related to this testing problem are established.

关 键 词：Hypothesis testing large deviations log-likelihood ratio process moderate deviations Ornstein-Uhleneck （O-U） process 

分 类 号：O211.5[理学—概率论与数理统计] TD171[理学—数学]