Section: New Results

Dependence modeling

Estimation of the parameters of a Wishart process

A.Alfonsi with A. Kebaier and C. Rey have studied the Maximum Likelihood Estimator for the Wishart processes and in particular its convergence in the ergodic and in some non ergodic cases. In the non ergodic cases, their analysis rely on refined results on the Laplace transform for Wishart processes. This work also extends a recent paper by Ben Alaya and Kebaier on the maximum likelihood estimation for the CIR process.