Maximum likelihood estimation for Wishart processes (Q326826): Difference between revisions

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+F12
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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / zbMATH DE Number @@
+6637932
@@ Property / zbMATH DE Number: 6637932 / rank @@
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@@ Property / zbMATH Keywords @@
+Wishart processes
@@ Property / zbMATH Keywords: Wishart processes / rank @@
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@@ Property / zbMATH Keywords @@
+Laplace transform
@@ Property / zbMATH Keywords: Laplace transform / rank @@
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@@ Property / zbMATH Keywords @@
+parameter inference
@@ Property / zbMATH Keywords: parameter inference / rank @@
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@@ Property / zbMATH Keywords @@
+maximum likelihood
@@ Property / zbMATH Keywords: maximum likelihood / rank @@
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@@ Property / zbMATH Keywords @@
+limit theorems
@@ Property / zbMATH Keywords: limit theorems / rank @@
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@@ Property / zbMATH Keywords @@
+local asymptotic properties
@@ Property / zbMATH Keywords: local asymptotic properties / rank @@
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+W2963447690
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+.03323
@@ Property / arXiv ID: 1508.03323 / rank @@
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@@ Property / cites work @@
+Exact and high-order discretization schemes for Wishart processes and their affine extensions
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@@ Property / cites work @@
+Affine diffusions and related processes: simulation, theory and applications
+Normal rank
@@ Property / cites work @@
+Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
+Normal rank
@@ Property / cites work @@
+Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
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@@ Property / cites work @@
+Affine processes on positive semidefinite matrices
+Normal rank
@@ Property / cites work @@
+Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
+Normal rank
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+Option pricing when correlations are stochastic: an analytical framework
+Normal rank
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+Positive definiteness in the numerical solution of Riccati differential equations
+Normal rank
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+On estimating the diffusion coefficient
@@ Property / cites work: On estimating the diffusion coefficient / rank @@
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@@ Property / cites work @@
+Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
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@@ Property / cites work @@
+On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
+Normal rank
@@ Property / cites work @@
+THE WISHART SHORT RATE MODEL
@@ Property / cites work: THE WISHART SHORT RATE MODEL / rank @@
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@@ Property / cites work @@
+The Explicit Laplace Transform for the Wishart Process
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+Derivative Pricing With Wishart Multivariate Stochastic Volatility
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+Discrete time Wishart term structure models
@@ Property / cites work: Discrete time Wishart term structure models / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Statistical inference for ergodic diffusion processes.
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+Q3288488
@@ Property / cites work: Q3288488 / rank @@
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@@ Property / cites work @@
+Asymptotics in statistics. Some basic concepts.
@@ Property / cites work: Asymptotics in statistics. Some basic concepts. / rank @@
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+On the Matrix Riccati Equation
@@ Property / cites work: On the Matrix Riccati Equation / rank @@
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@@ Property / cites work @@
+On contiguity of probability measures corresponding to semimartingales
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+Local asymptotic mixed normality for semimartingale experiments
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+On matrix convexity of the Moore-Penrose inverse
@@ Property / cites work: On matrix convexity of the Moore-Penrose inverse / rank @@
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@@ Property / cites work @@
+Estimation for Continuous Branching Processes
@@ Property / cites work: Estimation for Continuous Branching Processes / rank @@
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+Sur quelques algorithmes récursifs pour les probabilités numériques
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+Q4508926
@@ Property / cites work: Q4508926 / rank @@
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@@ Property / cites work @@
+A note on the existence of unique equivalent martingale measures in a Markovian setting
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@@ Property / cites work @@
+Q4284032
@@ Property / cites work: Q4284032 / rank @@
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+Publication:326826