Large and moderate deviations in testing time inhomogeneous diffusions |
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| Authors: | Hui Jiang Shoujiang Zhao |
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| Institution: | a College of Science, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, PR China
b College of Science, China Three Gorges University, Yichang 443002, PR China |
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| 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. |
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| Keywords: | Hypothesis testing Inhomogeneous diffusions Large deviations Log-likelihood ratio process Moderate deviations |
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