In: Tatra Mountains Mathematical Publications, vol. 51, no. 1
Vladimír Lacko
Detaily:
Rok, strany: 2012, 101 - 113
Kľúčové slová:
exact design, product covariance structure, It\={o} stochastic differential equation, estimation, asymptotic information matrix, efficiency
O článku:
We study exact optimal designs for processes governed by mean-reversion stochastic differential equations with a time dependent volatility and known mean-reversion speed. It turns out that any mean-reversion It? process has a product covariance structure. We prove the existence of a nondegenerate optimal sampling design for the parameter estimation and derive the information matrix corresponding to the observation of the full path. The results are demonstrated on a process with exponential volatility.
Ako citovať:
ISO 690:
Lacko, V. 2012. Planning of experiments for a nonautonomous Ornstein-Uhlenbeck process. In Tatra Mountains Mathematical Publications, vol. 51, no.1, pp. 101-113. 1210-3195.
APA:
Lacko, V. (2012). Planning of experiments for a nonautonomous Ornstein-Uhlenbeck process. Tatra Mountains Mathematical Publications, 51(1), 101-113. 1210-3195.