Maximum likelihood estimation for Wishart processes

DOI10.1016/j.spa.2016.04.026zbMath1347.62041arXiv1508.03323OpenAlexW2963447690MaRDI QIDQ326826

Ahmed Kebaier, Clément Rey, Aurélien Alfonsi

Publication date: 12 October 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.03323

zbMATH Keywords

Laplace transformmaximum likelihoodlimit theoremsparameter inferenceWishart processeslocal asymptotic properties

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Laplace transform (44A10)

Related Items (5)

Geometric ergodicity of affine processes on cones ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ On the application of Wishart process to the pricing of equity derivatives: the multi-asset case ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

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