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

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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 
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     author = {Jaya P. N. Bishwal},
     title = {Sufficiency and {Rao-Blackwellization} of {Vasicek} {Model}},
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     url = {http://geodesic.mathdoc.fr/item/THSP_2011_17_1_a1/}
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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/