WASET
	%0 Journal Article
	%A Rasaki O. Olanrewaju
	%D 2018
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 143, 2018
	%T On the Efficiency and Robustness of Commingle Wiener and Lévy Driven Processes for Vasciek Model
	%U https://publications.waset.org/pdf/10009776
	%V 143
	%X The driven processes of Wiener and Lévy are known
self-standing Gaussian-Markov processes for fitting non-linear
dynamical Vasciek model. In this paper, a coincidental Gaussian
density stationarity condition and autocorrelation function of the
two driven processes were established. This led to the conflation
of Wiener and Lévy processes so as to investigate the efficiency
of estimates incorporated into the one-dimensional Vasciek model
that was estimated via the Maximum Likelihood (ML) technique.
The conditional laws of drift, diffusion and stationarity process
was ascertained for the individual Wiener and Lévy processes as
well as the commingle of the two processes for a fixed effect
and Autoregressive like Vasciek model when subjected to financial
series; exchange rate of Naira-CFA Franc. In addition, the model
performance error of the sub-merged driven process was miniature
compared to the self-standing driven process of Wiener and Lévy.
	%P 225 - 230