Planning Planning of experiments for a nonautonomous Ornstein-Uhlenbeck process
Abstract
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 Itō 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.
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PDFDOI: https://doi.org/10.2478/tatra.v51i1.159