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Large and moderate deviations in testing Rayleigh diffusion model. (English) Zbl 1307.60021

Summary: This paper studies hypothesis testing in Rayleigh 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.

MSC:

60F10 Large deviations
60J60 Diffusion processes
62M02 Markov processes: hypothesis testing
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References:

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