Shrinkage drift parameter estimation for
✍
Sévérien Nkurunziza; S. Ejaz Ahmed
📂
Article
📅
2010
🏛
John Wiley and Sons
🌐
English
⚖ 188 KB
👁 2 views
## Abstract We consider some inference problems concerning the drift parameters of multi‐factors Vasicek model (or multivariate Ornstein–Uhlebeck process). For example, in modeling for interest rates, the Vasicek model asserts that the term structure of interest rate is not just a single process, b