Geodesic
Sufficiency and Rao-Blackwellization of Vasicek Model
Teoriâ slučajnyh processov, Tome 17 (2011) no. 1, pp. 12-15.

Voir la notice de l'article provenant de la source Math-Net.Ru

We use sufficiency and Rao-Blackwell theorem to obtain efficient estimators and discretize the continuous time Vasicek process optimally.
Keywords: Itô stochastic differential equation, discrete observations, optimal discretization, experimental design, maximum likelihood estimators, least squares estimator, sufficiency, efficiency.
Mots-clés : diffusion 
@article{THSP_2011_17_1_a1,
     author = {Jaya P. N. Bishwal},
     title = {Sufficiency and {Rao-Blackwellization} of {Vasicek} {Model}},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {12--15},
     publisher = {mathdoc},
     volume = {17},
     number = {1},
     year = {2011},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2011_17_1_a1/}
}
TY  - JOUR
AU  - Jaya P. N. Bishwal
TI  - Sufficiency and Rao-Blackwellization of Vasicek Model
JO  - Teoriâ slučajnyh processov
PY  - 2011
SP  - 12
EP  - 15
VL  - 17
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/THSP_2011_17_1_a1/
LA  - en
ID  - THSP_2011_17_1_a1
ER  - 
%0 Journal Article
%A Jaya P. N. Bishwal
%T Sufficiency and Rao-Blackwellization of Vasicek Model
%J Teoriâ slučajnyh processov
%D 2011
%P 12-15
%V 17
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/THSP_2011_17_1_a1/
%G en
%F THSP_2011_17_1_a1
Jaya P. N. Bishwal. Sufficiency and Rao-Blackwellization of Vasicek Model. Teoriâ slučajnyh processov, Tome 17 (2011) no. 1, pp. 12-15. http://geodesic.mathdoc.fr/item/THSP_2011_17_1_a1/

[1] M. Arató, “Estimation of the parameters of a stationary Gaussian Markov process”, Soviet Math. Dokladi, 162 (1962), 905–909

[2] M. Arató, “Linear Stochastic Systems with Constant Coefficients: A Statistical Approach”, Lecture Notes in Control and Information Sciences, 45, Springer, New York, 1982

[3] M. Arató, S. Fefyverneki, “New statistical investigations of the Ornstein-Uhlenbeck process”, Comput. Math. Appl., 44 (2002), 677–692

[4] J. P. N. Bishwal, Parameter Estimation in Stochastic Differential Equations, Springer-Verlag, 2008

[5] A. Novikov, “Sequential estimation of the parameters of diffusion type processes”, Mathematical Notes, 12 (1972), 812–818

[6] M. M. Rao, “Asymptotic distribution of an estimator of the boundary parameter of an unstable process”, Ann. Statist., 6 (1978), 185–190

[7] Y. M. Ryzhov, “Estimation of the mean and the correlation function of a stationary process from discrete data”, Theory. Probab. Appl., 16 (1971), 367–369

[8] Y. M. Ryzov, “Letter to the editor”, Theory. Probab. Appl., 17:1 193. (1972)

[9] S. Y. Vilenkin, “On the estimation of the mean in stationary processes”, Theory. Probab. Appl., 4 (1959), 415–416

[10] A. M. Yaglom, Correlation Theory of Stationary and Related Random Functions, v. I, II, Springer, New York, 1987