Observations spaced at intervals t are taken on the short rate. The ith observation is r i

Observations spaced at intervals Δt are taken on the short rate. The ith observation is r_i (1 ≤ i ≤ m). Show that the maximum likelihood estimates of a, b^*, and s in Vasicek’s model are given by maximizing

Transcribed Image Text:

: -r – a(b' – r.1)atF E - In(o²At)- oAt i=1