Acta mathematica scientia,Series A ›› 2011, Vol. 31 ›› Issue (5): 1393-1402.

• Articles • Previous Articles     Next Articles

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

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

CLC Number: 

  • 60F10
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