数学物理学报 ›› 2011, Vol. 31 ›› Issue (5): 1393-1402.

• 论文 • 上一篇    下一篇

分数O-U 模型的假设检验

赵守江   

  1. 三峡大学 理学院 |湖北宜昌 443002
  • 收稿日期:2009-10-12 修回日期:2010-09-30 出版日期:2011-10-25 发布日期:2011-10-25

Hypothesis Testing for Fractional Ornstein-Uhleneck Model

 ZHAO Shou-Jiang   

  1. College of Science, China Three Gorges University, Hubei Yichang |443002
  • Received:2009-10-12 Revised:2010-09-30 Online:2011-10-25 Published:2011-10-25

摘要:

该文通过对数似然比过程的大偏差和中偏差, 研究了分数 O-U 模型假设检验问题的否定域, 并得到了犯第一、二类错误的收敛速率.

关键词: 假设检验, 大偏差, 中偏差, 分数O-U 模型

Abstract:

The goal of this article is to  study the large deviations and moderate deviations for the log-likelihood ratio processes of the fractional Ornstein-Uhleneck model. With the help of them, negative regions in testing fractional Ornstein-Uhleneck model and  the decay rates of the error probabilities of the first kind and the second kind are obtained.

Key words: Hypothesis testing, Large deviations, Moderate deviations, Fractional Ornstein-Uhleneck model

中图分类号: 

  • 60F10