an:06056467
Zbl 1244.62004
Bishwal, Jaya P. N.
Sufficiency and Rao-Blackwellization of Vasicek model
EN
Theory Stoch. Process. 17, No. 1, 12-15 (2011).
00302964
2011
j
62B05 62F12 60H10
It??'s stochastic differential equation; diffusions; experimental designs; maximum likelihood estimator; least squares estimator; efficiency
Summary: We use sufficiency and the Rao-Blackwell theorem to obtain efficient estimators and to discretize the continuous time Vasi??ek process optimally.