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Article dans une revue

Maximum Likelihood Estimation for Wishart processes

Abstract : In the last decade, there has been a growing interest to use Wishart processes for modelling, 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 and are of independent interest.
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https://hal-enpc.archives-ouvertes.fr/hal-01184310
Contributeur : Aurélien Alfonsi <>
Soumis le : vendredi 14 août 2015 - 09:27:28
Dernière modification le : mardi 20 octobre 2020 - 15:56:32

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Aurélien Alfonsi, Ahmed Kebaier, Clément Rey. Maximum Likelihood Estimation for Wishart processes. Stochastic Processes and their Applications, Elsevier, 2016, ⟨10.1016/j.spa.2016.04.026⟩. ⟨hal-01184310⟩

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