Article ID Journal Published Year Pages File Type
1147663 Journal of Statistical Planning and Inference 2011 10 Pages PDF
Abstract
This paper studies hypothesis testing in time inhomogeneous diffusion processes. With the help of large and moderate deviations for the log-likelihood ratio process, we give the negative regions and obtain the decay rates of the error probabilities. Moreover, we apply our results to hypothesis testing in α‐Wiener bridge.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
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