Maximum likelihood estimation for Wishart processes
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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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Cited in
(7)- Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
- On the MLE of the Waring distribution
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- Explosion time for some Laplace transforms of the Wishart process
- Geometric ergodicity of affine processes on cones
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