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| Cox-Ingersoll-Ross过程对数似然比的精细大偏差 |
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吕亚倩,赵守江
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| 摘要: |
| 本文研究了平稳状态下Cox-Ingersoll-Ross过程在原假设和备择假设下对数似然比的精细大偏差问题.利用测度变换和特征函数技巧,本文得到了对数似然比的完全展开式. |
| 关键词: Cox-Ingersoll-Ross过程 对数似然比 精细大偏差 |
| DOI： |
| 分类号:O211.4 |
| 基金项目:Supported by National Natural Science Foundation of China(11601267). |
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| SHARP LARGE DEVIATIONS FOR THE LOG-LIKELIHOOD RATIO OF THE COX-INGERSOLL-ROSS PROCESS |
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LV Ya-qian,ZHAO Shou-jiang
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| Abstract: |
| In this paper, for the Cox-Ingersoll-Ross process in the stationary case, we investigate the sharp large deviations for the log-likelihood ratio under null hypothesis and alternative hypothesis.By using the change of measure and characteristic function techniques, we obtain the full expansion for the log-likelihood ratio. |
| Key words: Cox-Ingersoll-Ross process log-likelihood ratio sharp large deviations |
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