Theory Stoch. Process., 2011 Volume 17(33), Issue 1, Pages 12–15
(Mi thsp36)
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Sufficiency and Rao-Blackwellization of Vasicek Model
Jaya P. N. Bishwal Department of Mathematics and Statistics, University of North Carolina at Charlotte, 376 Fretwell Bldg., 9201 University City Blvd., Charlotte, NC 28223-0001
Abstract:
We use sufficiency and Rao-Blackwell theorem to obtain efficient estimators and discretize the continuous time Vasicek process optimally.
Keywords:
Itô stochastic differential equation, diffusion, discrete observations, optimal discretization, experimental design, maximum likelihood estimators, least squares estimator, sufficiency, efficiency.
MSC: Primary
62F12,
62F15,
62M05; Secondary
60F05,
60F10,
60H10
Language: English
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