Maximum likelihood estimation for Wishart processes
From MaRDI portal
Publication:326826
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
Laplace transformmaximum likelihoodlimit theoremsparameter inferenceWishart processeslocal asymptotic properties
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)
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