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Theory of Stochastic Processes, 2011, Volume 17(33), Issue 1, Pages 12–15 (Mi thsp36)  
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
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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.
Bibliographic databases:
Document Type: Article
MSC: Primary 62F12, 62F15, 62M05; Secondary 60F05, 60F10, 60H10
Language: English
Citation: Jaya P. N. Bishwal, “Sufficiency and Rao-Blackwellization of Vasicek Model”, Theory Stoch. Process., 17(33):1 (2011), 12–15
Citation in format AMSBIB
\Bibitem{Bis11}
\by Jaya P. N. Bishwal
\paper Sufficiency and Rao-Blackwellization of Vasicek Model
\jour Theory Stoch. Process.
\yr 2011
\vol 17(33)
\issue 1
\pages 12--15
\mathnet{http://mi.mathnet.ru/thsp36}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3076552}
\zmath{https://zbmath.org/?q=an:1244.62004}
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