Article ID Journal Published Year Pages File Type
1152025 Statistics & Probability Letters 2013 9 Pages PDF
Abstract

We studied the sharp large deviations for the log-likelihood ratio of an αα-Brownian bridge. The full expansion of the tail probability for the log-likelihood ratio was obtained by using a change of measure.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Sharp large deviations for the log-likelihood ratio of an αα-Brownian bridge
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