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Sufficiency and Rao-Blackwellization of Vasicek model. (English) Zbl 1244.62004
Summary: We use sufficiency and the Rao-Blackwell theorem to obtain efficient estimators and to discretize the continuous time Vasićek process optimally.
MSC:
62B05 Sufficient statistics and fields
62F12 Asymptotic properties of parametric estimators
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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