کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5130158 | 1378662 | 2016 | 40 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Maximum likelihood estimation for Wishart processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In the last decade, there has been a growing interest to use Wishart processes for modeling, especially for financial applications. However, there are still few studies on the estimation of its parameters. Here, we study the Maximum Likelihood Estimator (MLE) in order to estimate the drift parameters of a Wishart process. We obtain precise convergence rates and limits for this estimator in the ergodic case and in some nonergodic cases. We check that the MLE achieves the optimal convergence rate in each case. Motivated by this study, we also present new results on the Laplace transform that extend the recent findings of Gnoatto and Grasselli (2014) and are of independent interest.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 11, November 2016, Pages 3243-3282
Journal: Stochastic Processes and their Applications - Volume 126, Issue 11, November 2016, Pages 3243-3282
نویسندگان
Aurélien Alfonsi, Ahmed Kebaier, Clément Rey,